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Estimating fast mean-reverting jumps in electricity market models - MaRDI portal

Estimating fast mean-reverting jumps in electricity market models (Q5140350)

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scientific article; zbMATH DE number 7285921
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English
Estimating fast mean-reverting jumps in electricity market models
scientific article; zbMATH DE number 7285921

    Statements

    title
    Estimating fast mean-reverting jumps in electricity market models (English)
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    author
    Thomas Deschatre
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    O. Féron
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    Marc Hoffmann
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    publication date
    15 December 2020
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    zbMATH Keywords
    financial statistics
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    discrete observations
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    electricity market modelling
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    derivatives pricing
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    cites work
    Q5495335
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    Q3974816
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    Q2771116
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    Gas Storage Hedging
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    Identifiers

    DOI
    10.1051/ps/2020027
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    Mathematics Subject Classification ID
    62P05
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    62M10
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    60J74
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    60G35
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    60G48
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    60F05
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    zbMATH DE Number
    7285921
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    OpenAlex ID
    W3110048627
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    arXiv ID
    1803.03803
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