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

DOI10.1007/s11579-019-00237-xzbMath1422.91736arXiv1709.03310OpenAlexW2913692319WikidataQ128370680 ScholiaQ128370680MaRDI QIDQ2323334

Tiziano Vargiolu, Fred Espen Benth, Marco Piccirilli

Publication date: 30 August 2019

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.03310

zbMATH Keywords

forwardsmean-reversionenergy marketsmartingale propertyHeath-Jarrow-Morton approach

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (6)

Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period ⋮ Modelling the joint behaviour of electricity prices in interconnected markets ⋮ A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices ⋮ Exact simulation of normal tempered stable processes of OU type with applications ⋮ Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem

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