Pages that link to "Item:Q3375368"

The following pages link to Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (Q3375368):

Displaying 50 items.

• Electricity futures price models: calibration and forecasting (Q319946) (← links)
• Modeling spot price dependence in Australian electricity markets with applications to risk management (Q342246) (← links)
• Electricity price modeling and asset valuation: a multi-fuel structural approach (Q356476) (← links)
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
• A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets (Q905391) (← links)
• Modelling jumps in electricity prices: theory and empirical evidence (Q941721) (← links)
• An options pricing approach to ramping rate restrictions at hydro power plants (Q1656523) (← links)
• The jump size distribution of the commodity spot price and its effect on futures and option prices (Q1667549) (← links)
• A multiplicative seasonal component in commodity derivative pricing (Q1676014) (← links)
• Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields (Q1739895) (← links)
• Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market (Q1753617) (← links)
• Forecasting energy commodity prices using neural networks (Q1929898) (← links)
• Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model (Q2037761) (← links)
• Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis (Q2064632) (← links)
• Optimal installation of renewable electricity sources: the case of Italy (Q2064642) (← links)
• Assessing the impact of jumps in an option pricing model: a gradient estimation approach (Q2076852) (← links)
• Exact simulation of normal tempered stable processes of OU type with applications (Q2080363) (← links)
• Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region (Q2100422) (← links)
• A jump-diffusion model for pricing electricity under price-cap regulation (Q2179029) (← links)
• Optimal trading of imbalance options for power systems using an energy storage device (Q2183301) (← links)
• A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786) (← links)
• Valuation of electricity storage contracts using the COS method (Q2245038) (← links)
• Risk management of renewable power producers from co-dependencies in cash flows (Q2294648) (← links)
• Long-term swings and seasonality in energy markets (Q2315654) (← links)
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework (Q2323334) (← links)
• Stochastic multifactor modeling of spot electricity prices (Q2349615) (← links)
• Coupling Poisson processes by self-decomposability (Q2363006) (← links)
• Multisource Bayesian sequential change detection (Q2426605) (← links)
• Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach (Q2441572) (← links)
• A structural risk-neutral model for pricing and hedging power derivatives (Q2847237) (← links)
• Commodity price dynamics and derivative valuation: a review (Q2862510) (← links)
• Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model (Q2876225) (← links)
• Representation and approximation of ambit fields in Hilbert space (Q2974867) (← links)
• The Risk Premium and the Esscher Transform in Power Markets (Q3119080) (← links)
• Joint Modelling of Gas and Electricity Spot Prices (Q3176519) (← links)
• Modelling Electricity Futures by Ambit Fields (Q3191820) (← links)
• VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING (Q3304218) (← links)
• Modelling Electricity Prices with Forward Looking Capacity Constraints (Q3395723) (← links)
• A two-factor model for the electricity forward market (Q3395734) (← links)
• Modelling spikes and pricing swing options in electricity markets (Q3404103) (← links)
• Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming (Q3458751) (← links)
• Model Uncertainty in Commodity Markets (Q3465256) (← links)
• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives (Q3502202) (← links)
• ELECTRICITY PRICES: A NONPARAMETRIC APPROACH (Q3564994) (← links)
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model (Q3617309) (← links)
• A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES (Q3655551) (← links)
• Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting (Q4585677) (← links)
• Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (Q4619518) (← links)
• Portfolio selection with commodities under conditional copulas and skew preferences (Q4683000) (← links)