Pages that link to "Item:Q5297933"
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The following pages link to A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (Q5297933):
Displaying 26 items.
- Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (Q4976513) (← links)
- Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
- Discriminating Gaussian processes via quadratic form statistics (Q5000843) (← links)
- Modelling electricity prices: a time change approach (Q5001192) (← links)
- Correlators of Polynomial Processes (Q5013833) (← links)
- Multivariate continuous-time modeling of wind indexes and hedging of wind risk (Q5014183) (← links)
- Optimal Cross-Border Electricity Trading (Q5065091) (← links)
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes (Q5107760) (← links)
- A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period (Q5131416) (← links)
- Modelling the joint behaviour of electricity prices in interconnected markets (Q5139244) (← links)
- Estimating fast mean-reverting jumps in electricity market models (Q5140350) (← links)
- Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267) (← links)
- Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999) (← links)
- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (Q5193006) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL (Q5210913) (← links)
- DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
- Time-inhomogeneous polynomial processes in electricity spot price models (Q5370490) (← links)
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (Q5742555) (← links)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)
- Modeling electricity loads in California: a continuous-time approach (Q5947899) (← links)
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610) (← links)
- Futures hedging in electricity retailing (Q6148817) (← links)
- Analytical survival analysis of the non-autonomous Ornstein-Uhlenbeck process (Q6635290) (← links)
- Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets (Q6657681) (← links)
- Risk Valuation of Quanto Derivatives on Temperature and Electricity (Q6671992) (← links)
