FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES

DOI10.1142/S0219024915500107zbMath1337.91087OpenAlexW2161303781MaRDI QIDQ5249753

Fred Espen Benth, Sara Ana Solanilla Blanco

Publication date: 11 May 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500107

zbMATH Keywords

Lévy processesstationary processesenergy marketsinterest rate theoryforward pricecontinuous-time autoregressive moving average processesspot-forward relationshipweather markets

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Representation and approximation of ambit fields in Hilbert space
• Modeling and Pricing in Financial Markets for Weather Derivatives
• THE CARMA INTEREST RATE MODEL
• The Implied Market Price of Weather Risk
• Lévy-driven CARMA processes

This page was built for publication: FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES