A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices

DOI10.1080/14697688.2019.1687927zbMath1467.91187arXiv1803.08831OpenAlexW2992784518WikidataQ126667328 ScholiaQ126667328MaRDI QIDQ4991026

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Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.08831

zbMATH Keywords

initial forward price curvestochastic processes with economic interpretations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

Related Items (3)

Modelling the joint behaviour of electricity prices in interconnected markets ⋮ Application of continuous stochastic processes in energy market models ⋮ Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework

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