COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW (Q2862510): Difference between revisions

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+A DIFFUSION MODEL FOR ELECTRICITY PRICES
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+A note on arbitrage‐free pricing of forward contracts in energy markets
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+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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+Seasonal and stochastic effects in commodity forward curves
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+The dynamics of commodity prices
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+Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
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+Modelling Electricity Prices with Forward Looking Capacity Constraints
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+Implications of a regime-switching model on natural gas storage valuation and optimal operation
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+A multi-factor jump-diffusion model for commodities†
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+On the Behaviour of Commodity Prices
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+The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
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+Hedging Pressure and Futures Price Movements in a General Equilibrium Model
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+Q4794126
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+Convenience yields
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+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
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+Energy futures prices: term structure models with Kalman filter estimation
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+Theory of storage and the pricing of commodity claims
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+Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
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+Inventory and Price Behaviour
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+A Simple Competitive Model with Production and Storage
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+Modelling jumps in electricity prices: theory and empirical evidence
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+Time-varying long-run mean of commodity prices and the modeling of futures term structures
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+Valuation of commodity derivatives in a new multi-factor model
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