Joint Modelling of Gas and Electricity Spot Prices (Q3176519): Difference between revisions

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+.0236
@@ Property / arXiv ID: 0910.0236 / rank @@
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+A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
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+Maximum likelihood estimation of order m for stationary stochastic processes
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+A DIFFUSION MODEL FOR ELECTRICITY PRICES
@@ Property / cites work: A DIFFUSION MODEL FOR ELECTRICITY PRICES / rank @@
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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+PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
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+Diffusion-type models with given marginal distribution and autocorrelation function
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+Saddlepoint Approximations with Applications
@@ Property / cites work: Saddlepoint Approximations with Applications / rank @@
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+Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
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+Modelling spikes and pricing swing options in electricity markets
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+Q4002114
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+Q3923307
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+Estimation of an Ergodic Diffusion from Discrete Observations
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+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
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+Making Markov martingales meet marginals: With explicit constructions
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+MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
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