Joint Modelling of Gas and Electricity Spot Prices (Q3176519)

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Joint Modelling of Gas and Electricity Spot Prices
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    title
    Joint Modelling of Gas and Electricity Spot Prices (English)
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    author
    Noufel Frikha
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    Vincent Lemaire
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    publication date
    20 July 2018
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    Mathematics Subject Classification ID
    91B74
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    91B24
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    60H10
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    zbMATH DE Number
    6909201
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    zbMATH Keywords
    electricity markets
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    spot price modelling
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    ergodic diffusion
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    stochastic differential equation
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    saddlepoint approximation
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