Electricity futures price models: calibration and forecasting
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Publication:319946
DOI10.1016/J.EJOR.2015.05.063zbMath1346.91233OpenAlexW1760685249MaRDI QIDQ319946
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/11133
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- A survey of stochastic modelling approaches for liberalised electricity markets
- A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Energy futures prices: term structure models with Kalman filter estimation
- Financial Modelling with Jump Processes
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- General theory of geometric Lévy models for dynamic asset pricing
- Option pricing when underlying stock returns are discontinuous
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