Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach

DOI10.1137/15100268XzbMath1347.60082arXiv1412.7943OpenAlexW2127812707MaRDI QIDQ3195108

Fred Espen Benth, Paul Krühner

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7943

zbMATH Keywords

hedgingoption pricingspread optionsenergy marketsHilbert-valued stochastic processesforward curves

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (10)

Cointegration in continuous time for factor models ⋮ Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ An infinite‐dimensional affine stochastic volatility model ⋮ Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility ⋮ Pricing options on flow forwards by neural networks in a Hilbert space ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- ⋮ Sensitivity analysis in the infinite dimensional Heston model ⋮ The Heston stochastic volatility model in Hilbert space ⋮ Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region

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