Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling

DOI10.1007/978-3-319-00413-6_2zbMath1315.91022OpenAlexW192887642MaRDI QIDQ2847836

Fred Espen Benth

Publication date: 11 September 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41888

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Related Items

The forward dynamics in energy markets – infinite-dimensional modelling and simulation

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