Joint Modelling of Gas and Electricity Spot Prices

DOI10.1080/1350486X.2012.658220zbMath1457.91278arXiv0910.0236MaRDI QIDQ3176519

Noufel Frikha, Vincent Lemaire

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.0236

zbMATH Keywords

stochastic differential equationsaddlepoint approximationelectricity marketsergodic diffusionspot price modelling

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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