An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market

DOI10.1155/2015/626020zbMath1427.91271OpenAlexW2177823657WikidataQ59114231 ScholiaQ59114231MaRDI QIDQ1657898

Luca Di Persio, Isacco Perin

Publication date: 14 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/626020

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Random measures (60G57) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items

Inventory models with reverse logistics for assets acquisition in a liquefied Petroleum gas company ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic integrals for SPDEs: a comparison
• Stationary infinitely divisible processes
• Integrability conditions for space-time stochastic integrals: theory and applications
• Spectral representations of infinitely divisible processes
• Consistent price systems and face-lifting pricing under transaction costs
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Modelling Electricity Futures by Ambit Fields
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Ambit Processes and Stochastic Partial Differential Equations
• BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT