Dr. Juri Hinz

Research interests

• Numerical aspects of financial engineering

• Game theory, auction theory

• Pattern recognition, stochastic filtering theory

• Portfolio theory, option pricing, electricity markets

Publications in refereed journals

• Some examples of quantized Hamiltonian systems.
  Methods of Functional Analysis and Topology, Vol.3, no.4,p.64-69,(1997).

• An application of wavelet analysis to pricing and hedging derivative securities.
  Probability and Mathematical Statistics, Vol. XIX.1, 42-53, (1999).

• Portfolio optimization, hidden Markov models, and technical analysis of P\&F--Charts.
  (with R. Elliott.) Journal of Theoretical and Applied Finance,Vol. 5, No 4,1--15, (2002).

• A method for porfolio choice. (with R. Elliott.)
  Applied Stochastic Models in Business and Industry, Vol. 19, issue 1, 1-11, (2003).

• An equilibrium model for electricity auctions.
  Appl. Math. (Warsaw) 30, 243-249, (2003).

• Optimal bid strategies for electricity auctions.
  Mathematical Methods of Operations Research, 57, issue 1, 157--171, (2003).

• Optimizing a portfolio of power--producing plants.
  Bernoulli, 9 (4), 659 -- 669, (2003).

• Modelling day--ahead electricity prices.
  Applied Mathematical Finance, Vol 10, No 2, 149--161, (2003).

• A revenue equivalence theorem for electricity auctions.
  Journal of Applied Probability,Vol. 41, No. 2, (2004)

• Pricing electricity risk by interest rate methods
  Quantitative Finance, Vol. 5, No. 1, 49-60 (2005)

• Equilibrium strategies in random-demand procurement auctions with sunk costs.
  IMA Journal of Management Mathematics, Vol. 17, No 1, 61-81, (2006)

• Book contribution:Energiehandel in Europa, Ines Zenke, Ralf Schäfer
  Beck Verlag M"unchen, (2005). (with M. Weber)

Energiehandel in Europa

• Pricing flow commodity derivatives using fixed income market techniques
  To appear in International Journal of Theoretical and Applied Finance

• Valuing production capacities on flow commodities
  Mathematical Methods of Operations Research, 64(2), 187-209 (2006)

• A quantitative approach to carbon price risk modeling
  Submitted

Teaching

• Lecture Markov Decision Theory and Valuation of Real Options

Workshops for Energy industry

• Modelling and Measuring Energy Risk

• Energy Derivatives & Energy Price Risk Management - a Masterclass

• Risk in deregulated electricity markets

• Valuation of Financial Products in Energy, Commodity and Carbon Trading