Forward Prices in Markets Driven by Continuous-time Autoregressive Processes

DOI10.1142/9789814571647_0001zbMath1314.91204OpenAlexW2316961378MaRDI QIDQ5256597

Fred Espen Benth, Sara Ana Solanilla Blanco

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814571647_0001

zbMATH Keywords

Lévy processesenergy marketsinterest rate theoryforward pricespot-forward relationshipweather marketscontinuous AR processes

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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