A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period

DOI10.1137/19M1283264zbMath1452.91310arXiv1908.08954MaRDI QIDQ5131416

Markus Regez, Vlatka Komaric, Xi Kleisinger-Yu, Martin Larsson

Publication date: 7 November 2020

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

Full work available at URL: https://arxiv.org/abs/1908.08954

zbMATH Keywords

electricity forwardspolynomial diffusionsmarket price of risklocal risk-minimizationforward risk premium

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Correlators of Polynomial Processes

Uses Software

• DEoptim

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Polynomial diffusions and applications in finance
• A quadratic Kalman filter
• Polynomial processes and their applications to mathematical finance
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• An interest rate model with upper and lower bounds
• The Jacobi stochastic volatility model
• Polynomial processes in stochastic portfolio theory
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• Linear credit risk models
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
• Polynomial diffusion models for life insurance liabilities
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• A Pricing Measure to Explain the Risk Premium in Power Markets
• Risk-minimality and orthogonality of martingales
• LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS
• Option pricing with orthogonal polynomial expansions
• Polynomial Processes for Power Prices
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

This page was built for publication: A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period