Bakgrunn og aktiviteter

Research interests:

  • Finance: capital markets, financial institutions, financial regulation, risk measures
  • Energy and Commodity Finance: pricing and risk management in electricity, gas and oil markets

Methods and skills:

  • Econometrics (applied and estimation): regime-switching models, time-varying quantile regression, time series
  • Multistage stochastic programming: production planning with applications to energy
  • Financial mathematics: random field modelling

International Research Collaborations:

  • University of St. Gallen (Lehrauftrag)
  • University of Duisburg-Essen (Research Fellow)
  • Queen Mary University of London (Research Fellow)
  • University of Oslo

Awards:

  • November 2016 – ECOMFIN Best Paper Award, Energy and Commodity Finance Conference, Paris.

  • October 2013– DK Gupta Memorial Best Energy Paper Award 2013, Conference Energy Finance, Essen.

Papers currently under review in academic journals:

  • Füss, R., Mahringer, S., Paraschiv, F., Prokopczuk, M. (2017). Electricity spot and derivatives pricing under market coupling. under review.
  • Kiesel, R., Paraschiv, F., Saethero, A. (2017). On the construction of hourly price forward curves for electricity prices. under review in Computational Management Science.
  • Spada, M., Paraschiv, F., Burgherr, P. (2017). A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. under review in Energy.
  • Paraschiv, F., Bunn, D. & Westgaard, S. (2017). A fully parametric approach for quantile regressions with time-varying coefficients. under review.

Vitenskapelig, faglig og kunstnerisk arbeid

Viser et utvalg av aktivitet. Se alle publikasjoner i databasen

2017

2016

2015

2014

  • Gamze, Celik; Frauendorfer, Karl; Paraschiv, Florentina. (2014) Joint dynamics of European and American oil prices. Palgrave Macmillan. 2014. ISBN 978-1-137-37734-0.
  • Kovacevic, Raimund M.; Paraschiv, Florentina. (2014) Medium-term planning for thermal electricity production. OR Spektrum. vol. 36 (3).
  • Paraschiv, Florentina; Erni, David; Pietsch, Ralf. (2014) The impact of renewable energies on EEX day-ahead electricity prices. Energy Policy. vol. 73.
  • Paraschiv, Florentina; Mudry, Pierre Antoine. (2014) Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas. 2014. ISBN 978-3-319-20429-1. Computational Management Science (682).

2013

2012

2011

  • Paraschiv, Florentina. (2011) Modeling client rates and volumes of the non-maturing savings accounts. 2011. ISBN 978-3-258-07706-2.