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Karl Frauendorfer
Title
Prof. Dr.
Last Name
Frauendorfer
First name
Karl
Email
karl.frauendorfer@unisg.ch
Phone
+41 71 224 2105
Now showing
1 - 10 of 12
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PublicationHSG Trading Room: Active Learning and Teaching for Security Analysis and Risk ManagementWe would like to share our experience in building, designing and running an interactive learning platform that has sparked great attention, huge student demand and immediate positive feedback from students, academics and practitioners alike.Type: conference paper
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PublicationEnergy Business and Finance Policy - Parallels in Methodology and Duties(Österreichische Elektrizitätswirtschafts-Aktiengesellschaft, 2003-09-25)Kuhn, DanielType: conference paperJournal: Schriftenreihe der Forschung im VerbundVolume: Band 85
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PublicationSistema de Gerenciamento para a Geração e a Comercialização de Energia Elétrica sob Instabilidate(VDI Associação Técnica Brasil-Alemanha, 2003-11-26)Ostermaier, GeorgType: conference paper
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PublicationUmsetzung stochastischer Optimierungsmethoden in der Energiewirtschaft(VDI-Verl., 2002-05-15)
;Kuhn, DanielOstermaier, GeorgType: conference paperJournal: VDI-BerichteVolume: Nr. 1688 -
PublicationType: conference paperJournal: VDI-BerichteVolume: Nr. 1594
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PublicationType: conference paper
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PublicationStochastic Optimization in Dispatching of Complex Power Systems(Österreichische Elektrizitätswirtschaft Aktiengesellschaft, 1999-09-22)Ostermaier, GeorgType: conference paper
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PublicationA Stochastic Optimization Model for the Investment of Savings Account DepositsA bank's financial management faces various sources of uncertainty when funds from savings account deposits are invested in the marketplace. Future interest rates are unknown and customers are allowed to withdraw their deposits at any point in time. The objective is to find a portfolio of fixed income instruments that maximizes the bank's interest surplus from the investment of funds and to manage the prepayment risk inherent to non-maturing accounts. A multistage stochastic programming model is presented that takes into account the uncertain evolution of interest rates and volume. A case study based on interest rate data of a 7 years period indicates that the surplus can be increased by 25 basis points compared to the static approach formerly used, while volatility is reduced significantly.Type: conference paper
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PublicationLinear Duality, Term Structure, and ValuationThe paper's objective is to interpret no-arbitrage conditions by means of linear programming. Basic statements about the term structure of a market with frictions can be derived using the relation of primal and associated dual programs. The duality concept applies mutatis mutandis to the valuation of cash flows from an individual investor's point of view.Type: conference paper
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