Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
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Publication:1709604
DOI10.1007/s00780-018-0355-9zbMath1422.91565arXiv1512.05983OpenAlexW2962692378MaRDI QIDQ1709604
Fred Espen Benth, Paul Krühner
Publication date: 6 April 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.05983
energy marketsarbitrage-free approximationsHeath-Jarrow-Morton modellingnonharmonic Fourier analysis
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
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