Hawkes processes in energy markets: modelling, estimation and derivatives pricing

DOI10.1007/978-3-031-50597-3_2MaRDI QIDQ6610445

Riccardo Brignone, Carlo Sgarra, Luca Gonzato

Publication date: 25 September 2024

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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