Paul Carlisle Kettler

Personal Details

First Name:	Paul
Middle Name:	Carlisle
Last Name:	Kettler
Suffix:
RePEc Short-ID:	pke180
	http://www.paulcarlislekettler.net
	Department of Mathematics and Centre of Mathematics for Applications P. O. Box 1053 Blindern 0316 Oslo Norway
	+47 22 85 77 71

Affiliation

Matematisk institutt, Universitetet i Oslo (Mathematics Department, University of Oslo)

http://www.math.uio.no
Oslo, Norway

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Fred Espen Benth & Paul Kettler, 2010. "Dynamic copula models for the spark spread," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 407-421.

   Cited by:

   1. Noufel Frikha & Vincent Lemaire, 2012. "Joint Modelling of Gas and Electricity spot prices," Post-Print hal-00421289, HAL.
   2. Johannes Kaufmann & Philipp Artur Kienscherf & Wolfgang Ketter, 2020. "Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios," Energies, MDPI, vol. 13(14), pages 1-19, July.
   3. Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   4. Riadh Aloui & Mohamed Safouane Ben Aïssa & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Working Papers 2014-590, Department of Research, Ipag Business School.
      • Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
   5. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, January.
   6. Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
   7. Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
   8. Christensen, Troels Sønderby & Pircalabu, Anca & Høg, Esben, 2019. "A seasonal copula mixture for hedging the clean spark spread with wind power futures," Energy Economics, Elsevier, vol. 78(C), pages 64-80.
   9. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, August.

2. Fred Espen Benth & Martin Groth & Paul C. Kettler, 2006. "A Quasi-Monte Carlo Algorithm For The Normal Inverse Gaussian Distribution And Valuation Of Financial Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 843-867.

   Cited by:

   1. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carol Methods for the Heston Model," Research Paper Series 307, Quantitative Finance Research Centre, University of Technology, Sydney.
      • Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.
   2. Khaled Salhi, 2017. "Pricing European options and risk measurement under exponential Lévy models — a practical guide," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-36, June.

3. Roman L. Weil & Paul C. Kettler, 1971. "Rearranging Matrices to Block-Angular form for Decomposition (And Other) Algorithms," Management Science, INFORMS, vol. 18(1), pages 98-108, September.

   Cited by:

   1. Seyed Ahmad Hosseini, 2013. "A Model-Based Approach and Analysis for Multi-Period Networks," Journal of Optimization Theory and Applications, Springer, vol. 157(2), pages 486-512, May.
   2. Taghi Khaniyev & Samir Elhedhli & Fatih Safa Erenay, 2018. "Structure Detection in Mixed-Integer Programs," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 570-587, August.

More information

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Corrections

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