Concepedia

Thilo Meyer‐Brandis

TM

26

Publications

1.4K

Citations

18

H-Index

2004

Active since

Affiliations

University of Oslo(Current)

Ludwig-Maximilians-Universität München

University of California, Santa Barbara

Norwegian School of Economics

Thilo Meyer‐Brandis is an author at University of Oslo specializing in engineering, business, and asset pricing.

Top concepts

EngineeringBusinessStatisticsAsset PricingFinanceEconomicsProbabilityManagementEconomic AnalysisStochastic Processes

Publications per year

2004–2020

26

Publications

26

A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Fred Espen Benth, Jan Kallsen, Thilo Meyer‐Brandis · Applied Mathematical Finance · 2007 · 257 citations · Full text

Derivatives Pricing, Electricity Forward, Electrical Engineering +14

A mean-field stochastic maximum principle via Malliavin calculus

Thilo Meyer‐Brandis, Bernt Øksendal, Xun Yu Zhou · Stochastics · 2012 · 166 citations

Optimal Control, Engineering, Adjoint Process +10

MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES

Thilo Meyer‐Brandis, Peter Tankov · International Journal of Theoretical and Applied Finance · 2008 · 109 citations

Engineering, Applied Econometrics, Different Ou Components +16

The information premium for non-storable commodities

Fred Espen Benth, Thilo Meyer‐Brandis · The Journal of Energy Markets · 2009 · 105 citations

Information Drift, Commodity Market, Market Design +19

A unified approach to systemic risk measures via acceptance sets

Francesca Biagini, Jean‐Pierre Fouque, Marco Frittelli et al. · Mathematical Finance · 2018 · 100 citations · Full text

Acceptance Sets, Engineering, Financial Risk Management +23

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