{"id":4066,"date":"2020-11-02T12:42:36","date_gmt":"2020-11-02T11:42:36","guid":{"rendered":"https:\/\/rivacon.com\/?page_id=4066"},"modified":"2025-12-01T18:49:34","modified_gmt":"2025-12-01T17:49:34","slug":"publications","status":"publish","type":"page","link":"https:\/\/rivacon.com\/en\/publications\/","title":{"rendered":"Publications"},"content":{"rendered":"
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Energy Asset Optimization Framework<\/h2>\n\n\n\n

A flexible library to facilitate the optimization of multi-commodity energy portfolios. Includes power & heat portfolios, P2x, BESS, co-location or PPAs<\/p>\n\n\n\n

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Energy Market Model Suite<\/h2>\n\n\n\n

(H)PFC models (shaping and shifting) and consistent renewable & spot price sampling for intrinsic or extrinsic valuation of flexibility, renewable assets & PPAs. A flexible open-source model library.<\/p>\n\n\n\n

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Maximizing the value of batteries:
A hands-on guide<\/h2>\n\n\n\n

(May 26, 2025)<\/p>\n\n\n\n

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Towards a fast and robust deep
hedging approach<\/h2>\n\n\n\n

(April 23, 2025)<\/p>\n\n\n\n

Schmid, Fabienne and Oeltz, Daniel<\/p>\n\n\n\n

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Quantifying and Hedging Weather
Risk for Energy Companies<\/h2>\n\n\n\n

(February 04, 2025)<\/p>\n\n\n\n

Schmid, Fabienne and Menn, Christian<\/p>\n\n\n\n

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Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk <\/h2>\n\n\n\n

European Financial Management 23(1), pp. 55-86, 2017 <\/p>\n\n\n\n

(E. L\u00fctkebohmert-Holtz, D. Oeltz, Y. Xiao).<\/p>\n\n\n\n

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A Universal Pairwise Local Correlation Model<\/h2>\n\n\n\n

(September 10, 2016)<\/p>\n\n\n\n

Koster, Frank and Oeltz, Daniel<\/p>\n\n\n\n

Available at SSRN: https:\/\/ssrn.com\/abstract=2766011<\/a> or http:\/\/dx.doi.org\/10.2139\/ssrn.2766011<\/a>.<\/p>\n\n\n\n

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The Basel II Risk Parameters: Estimation, Validation, Stress Testing – with Applications to Loan Risk Management<\/h2>\n\n\n\n

2. Auflage<\/p>\n\n\n\n

Bernd Engelmann, Robert Rauhmeier<\/p>\n\n\n\n

ISBN 978-3-642-16113-1
Erschienen im Springer-Verlag<\/p>\n<\/div>\n<\/div>\n\n\n\n

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Fat-Tailed and Skewed Asset Return Distributions<\/h2>\n\n\n\n

Implications for Risk Management, Portfolio Selection, and Option Pricing<\/p>\n\n\n\n

Svetlozar T. Rachev, Christian Menn, Frank J. Fabozzi<\/p>\n\n\n\n

ISBN 978-0-471-71886-4
Erschienen im Verlag Wiley Finance – John Wiley & Sons<\/a><\/p>\n<\/div>\n<\/div>\n\n\n\n

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Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme<\/h2>\n\n\n\n

Bernd Engelmann, Frank Koster, Daniel Oeltz<\/p>\n\n\n\n

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A Generic Approach to Manage Gap Risk<\/h2>\n\n\n\n

Frank Koster, Daniel Oeltz<\/p>\n\n\n\n

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Bewertung und Nominierung von Gas Bezugsvertr\u00e4gen<\/h2>\n\n\n\n

Christian Menn, Daniel Oeltz<\/p>\n\n\n\n

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Forward Fitting to Quotes of American Options<\/h2>\n\n\n\n

Frank Koster, Christian Menn, Daniel Oeltz<\/p>\n\n\n\n

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Energy Asset Optimization Framework A flexible library to facilitate the optimization of multi-commodity energy portfolios. Includes power & heat portfolios, P2x, BESS, co-location or PPAs Energy Market Model Suite (H)PFC models (shaping and shifting) and consistent renewable & spot price sampling for intrinsic or extrinsic … <\/p>\n

Read<\/a><\/p>\n","protected":false},"author":2,"featured_media":0,"parent":0,"menu_order":80,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-4066","page","type-page","status-publish","infinite-scroll-item"],"_links":{"self":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/pages\/4066","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/comments?post=4066"}],"version-history":[{"count":7,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/pages\/4066\/revisions"}],"predecessor-version":[{"id":89141,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/pages\/4066\/revisions\/89141"}],"wp:attachment":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/media?parent=4066"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}