Electricity futures price models: calibration and forecasting (Q319946): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
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+J60
@@ Property / Mathematics Subject Classification ID: 60J60 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
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@@ Property / zbMATH DE Number @@
+6633737
@@ Property / zbMATH DE Number: 6633737 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+electricity derivatives
@@ Property / zbMATH Keywords: electricity derivatives / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump diffusion models
@@ Property / zbMATH Keywords: jump diffusion models / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID: W1760685249 / rank @@
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@@ Property / cites work @@
+A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
+Normal rank
@@ Property / cites work @@
+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
+Normal rank
@@ Property / cites work @@
+General theory of geometric Lévy models for dynamic asset pricing
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@@ Property / cites work @@
+Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
+Normal rank
@@ Property / cites work @@
+Energy futures prices: term structure models with Kalman filter estimation
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+A survey of stochastic modelling approaches for liberalised electricity markets
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:319946