Polynomial Processes for Power Prices

DOI10.1080/1350486X.2020.1715808zbMath1433.91104OpenAlexW2963133140MaRDI QIDQ5217497

Tony Ware

Publication date: 24 February 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2020.1715808

zbMATH Keywords

electricity pricesenergy marketsJacobi processespolynomial processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (7)

On Optimal Linear Regulator with Polynomial Process of External Excitations ⋮ Evaluation of integrals with fractional Brownian motion for different Hurst indices ⋮ Dirichlet form analysis of the Jacobi process ⋮ A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period ⋮ Modeling the intraday electricity demand in Germany ⋮ Valuation of electricity storage contracts using the COS method ⋮ Correlators of Polynomial Processes

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• On a semi-spectral method for pricing an option on a mean-reverting asset
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• Geometry of Reduced Moment Spaces

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