1 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
2 papers
q-fin.RM2023★ 1 cited
Principal Component Copulas for Capital Modelling and Systemic Risk
K. B. Gubbels, J. Y. Ypma, C. W. Oosterlee
We introduce a class of copulas that we call Principal Component Copulas (PCCs). This class combines the strong points of copula-based techniques with principal component analysis…
math.OC2013
Optimal control of storage for arbitrage, with applications to energy systems
James Cruise, Richard Gibbens, Stan Zachary
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is wit…