Electricity spot price modelling with a view towards extreme spike risk

DOI10.1080/14697680903150496zbMath1210.91155OpenAlexW2051354157MaRDI QIDQ2994839

Thilo Meyer-Brandis, Claudia Klüppelberg, Andrea Schmidt

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903150496

zbMATH Keywords

extreme value theoryenergy derivativesfinancial mathematicsenergy markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

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Cites Work

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• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes