Edited

This page was last edited on the 17th of January 2025.

Publications

Publications

Publications

Published and accepted 

Published and accepted 

Submitted and under review

Submitted and under review
  • X Hedging: an eXplainable artificial intelligence option Hedging framework,  Bjørn André Aaslund, Johannes Berge, Ying Ni, and Rita Pimentel
  • Neural network-based pricing of high-dimensional Bermudan basket options under stochastic volatility, Bjørn André Aaslund, Johannes Berge, Ying Ni, and Rita Pimentel 
  • Electric vehicles for solar energy communities - economic and grid impact of various mobility options and charging strategies, Selina Kerscher, Pedro Granado and Carsten Wegkamp   
  • Enhancing Decision-Making in the Financial Sector with Explainable AI (XAI), Galena Pison, Angus Gatus and Rita Pimentel   
  • Forecasting day-ahead EURUSD Tail Risk: Leveraging Machine Learning and the Volatility Surface, Morten Risstad, Ida Moen, Marie Strøm Pedersen, Hans Magnus Utne and Sjur Westgaard   
  • Conditional return quantiles, machine learning, and the implied volatility surface, Morten Risstad, Ida Moen, Marie Strøm Pedersen, Hans Magnus Utne and Sjur Westgaard    
  • Option Pricing with Deep Learning: A Long Short-Term Memory Approach,Rita Pimentel, Morten Risstad, Erlend Rygg, Jacob Vinje, Sjur Westgaard, Cassandra Wu    
  • Merged LSTM-MLP for Option Pricing, Christian Ewald, Rita Pimentel, Morten Risstad, Erlend Rygg, Jacob Vinje, Sjur Westgaard and Cassandra Wu
  • Revisiting hierarchical planning for hydropower plant upgrades using semi-analytical policies and reinforcement learning, Andreas Kleiven, Selvaprabu Nadarajah and Stein-Erik Fleten    
  • Ex ante and ex post risk premiums in electricity futures, Angeles Carnero, S-E Fleten, Ståle Størdal, Sjur Westgaard

Working paper

Working paper
  • Forecasting EUR/USD Realized Volatility from the Implied Volatility Term Structure, Rita Pimentel, Morten Risstad, and Sjur Westgaard    
  • Wintertime Blues: Impacts of Air Pollution on Cardiorespiratory Medical Expenditures in Oslo,  Cong Cao, Shilpa Rao,  R.Michael Alvarez
  • Random Matrix Theory Approach for Searching Cointegrated Assets with Large Data Samples with Spectral Clustering Conceição Amado, Pedro Carvalho and Carlos Oliveira
  • Loan option to avoid ruin in insurance, Manuel Guerra, Phuong Nguyen and Carlos Oliveira
  • Riding the Green Transition: When to Convert a Depleting Oil Field into a CO2 Storage Unit?, Wafaa Azira, Stein-Erik Fleten, Jean-Noël Ory and Hery Razafitombo
  • Timing Green Technology Investments in a Duopoly: Voluntary Overcompliance for Tougher Regulation, Verena Hagspiel-Janssen, Stefan Kupfe and Elmar Lukas
  • Simulation of Electricity Forward Curves, Marina Dietze, Stein-Erik Fleten, Alexandre Street and Davi Valladão
  • Bi-Level Solar impacts on Energy Community investments and the role of P2P trading, Pedro Granado, Jhonny Villarroel and Haiping Shen
  • Real option in a mean reversion context, Peter Kort, Carlos Oliveira and Rita Pimentel
  • Stock price directional forecasting using Bayesian AI, Rita Pimentel and Energy Sonono    
  • Environmental impact of green bonds issuance, Rodrigo Graça, Rui Henriques and Rita Pimentel
  • A Combination Approach to Forecasting Precious Metals Correlations, Malvina Marchese, I Kyriakou, I Moutzouris, M Tamvakis and Sjur Westgaard