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Paul Carlisle Kettler

Personal Details

First Name:Paul
Middle Name:Carlisle
Last Name:Kettler
Suffix:
RePEc Short-ID:pke180
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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

Research output

as
Jump to: Articles

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.
  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.
  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.

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. 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.
    2. 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.
    3. PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  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.
    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.

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