Electricity futures price models: calibration and forecasting

DOI10.1016/J.EJOR.2015.05.063zbMath1346.91233OpenAlexW1760685249MaRDI QIDQ319946

Suren Islyaev, Paresh Date

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

zbMATH Keywords

electricity derivativesjump diffusion models

Mathematics Subject Classification ID

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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