2 papers
q-fin.CP2026
Advanced Calibration Analysis and Tools: Identifying Influential Observations in Stochastic Interest Rate Model Calibration
Philipp Mahler, Peter Ruckdeschel
The accurate calibration of interest rate models is central to market-consistent valuation and Economic Scenario Generators (ESGs). Traditional calibration methods for multi-factor…
eess.SY2024
e-Values for Real-Time Residential Electricity Demand Forecast Model Selection
Fabian Backhaus, Karoline Brucke, Peter Ruckdeschel +1
With the growing number of forecasting techniques and the increasing significance of forecast-based operation - particularly in the rapidly evolving energy sector - selecting the m…