Valdo Durrleman

Finance · 2000–2003

A researcher in the Science corpus: 4 papers; trusts 1 researcher and is trusted by 18 researchers here, as inferred from the citation graph.

Subfields

• Finance — 14 citations into it; #3,519 of 10,518 by trust here, #5,014 by citations
• Economics and Econometrics — 10 citations into it; #8,271 of 23,481 by trust here, #16,151 by citations

Whom Valdo Durrleman trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. K. Miltersen

Who trusts Valdo Durrleman overall

1. Valentyn Panchenko
2. C. Savu
3. Rafael Schmidt
4. Thierry Ané
5. Chao Jiang
6. Petter Bjerksund
7. H. Manner
8. Mark Trede
9. Ulrich Stadtmüller
10. Minqiang Li

Papers from Valdo Durrleman's perspective

Ordered by how strongly the researchers Valdo Durrleman trusts endorse each paper. Same corpus, a different order for every researcher.

1. Random number generation and Quasi-Monte Carlo methods
2. Power System Economics: Designing Markets for Electricity
3. On the Term Structure of Futures and Forward Prices
4. Commodity price modelling that matches current observables: a new approach
5. Energy Derivatives: Pricing and Risk Management
6. Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging
7. Option valuation with co-integrated asset prices
8. The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures
9. The Pricing of Options and Corporate Liabilities
10. Processes of normal inverse Gaussian type

Their papers

• Stochastic Models of Implied Volatility Surfaces (2002) — 89 citations
• Pricing and Hedging Spread Options (2003) — 338 citations
• Copulas: An Open Field for Risk Management (2001) — 60 citations
• Which Copula is the Right One (2000) — 195 citations