THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS |
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THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (English)
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22 June 2005
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energy markets
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heavy tails
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price jumps
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normal inverse Gaussian distribution
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Lévy processes
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incomplete markets
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arbitrage-free pricing of derivatives
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