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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework - MaRDI portal

Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework (Q2323334)

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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
scientific article

    Statements

    title
    Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework (English)
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    author
    Fred Espen Benth
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    Marco Piccirilli
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    Tiziano Vargiolu
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    publication date
    30 August 2019
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    zbMATH Keywords
    energy markets
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    mean-reversion
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    Heath-Jarrow-Morton approach
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    forwards
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    martingale property
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    cites work
    Q3521355
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    Q4002114
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    Q4350437
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    Q4435813
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G44
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    60G51
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    zbMATH DE Number
    7100305
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    OpenAlex ID
    W2913692319
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    arXiv ID
    1709.03310
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    Wikidata QID
    Q128370680
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