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Celovito modeliranje trga električne energije z Lévyjevimi procesi : magistrsko delo
ID Prislan, Lev (Author), ID Velušček, Dejan (Mentor) More about this mentor... This link opens in a new window

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MD5: C1D79E7020CECDCEA7FFE2558B9BCD43
PID: 20.500.12556/rul/1f40d489-ba19-4930-bd20-9c8dd761a048

Language:Slovenian
Keywords:cene električne energije na dnevnem trgu, cene električne energije na terminskem trgu, CARMA model, Lévyjevi procesi, stabilni procesi, Monte Carlo simulacija, skoki, primerjava momentov, upravljanje s tveganji, linearna regresija
Work type:Master's thesis/paper
Typology:2.09 - Master's Thesis
Organization:FMF - Faculty of Mathematics and Physics
Place of publishing:Ljubljana
Publisher:[L. Prislan]
Year:2013
Number of pages:74 f.
PID:20.500.12556/RUL-96876 This link opens in a new window
UDC:519.21
COBISS.SI-ID:16787289 This link opens in a new window
Publication date in RUL:17.10.2017
Views:1340
Downloads:416
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Secondary language

Language:English
Keywords:electricity spot prices, electricity future prices, CARMA model, Lévy processes, stable processes, Monte Carlo simulation, jumps, comparison of moments, risk management, linear regression

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