Pages that link to "Item:Q5297933"
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The following pages link to A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (Q5297933):
Displayed 50 items.
- Electricity futures price models: calibration and forecasting (Q319946) (← links)
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
- Representation of infinite-dimensional forward price models in commodity markets (Q403550) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- An options pricing approach to ramping rate restrictions at hydro power plants (Q1656523) (← links)
- Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models (Q1709604) (← links)
- Management of a hydropower system via convex duality (Q1731594) (← links)
- Spatial-temporal modelling of temperature for pricing temperature index insurance (Q1732975) (← links)
- Valuation of power plants (Q1754195) (← links)
- Joint econometric modeling of spot electricity prices, forwards and options (Q1937840) (← links)
- Minimal variance hedging in multicurve interest rate modeling (Q2010117) (← links)
- Random quasi-periodic paths and quasi-periodic measures of stochastic differential equations (Q2020113) (← links)
- Pricing electricity forwards under future information on the stochastic mean-reversion level (Q2026537) (← links)
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model (Q2037761) (← links)
- A new approach to wind power futures pricing (Q2064645) (← links)
- Exact simulation of normal tempered stable processes of OU type with applications (Q2080363) (← links)
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region (Q2100422) (← links)
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes (Q2104006) (← links)
- Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance (Q2115707) (← links)
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (Q2144199) (← links)
- A pure-jump mean-reverting short rate model (Q2209739) (← links)
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework (Q2323334) (← links)
- Long-term time-dependent stochastic modelling of extreme waves (Q2331258) (← links)
- Swing options in commodity markets: a multidimensional Lévy diffusion model (Q2441571) (← links)
- The forward dynamics in energy markets – infinite-dimensional modelling and simulation (Q2811117) (← links)
- MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS (Q2836217) (← links)
- A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES (Q2847237) (← links)
- COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW (Q2862510) (← links)
- PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED (Q2953312) (← links)
- NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
- Representation and approximation of ambit fields in Hilbert space (Q2974867) (← links)
- Electricity spot price modelling with a view towards extreme spike risk (Q2994839) (← links)
- The Risk Premium and the Esscher Transform in Power Markets (Q3119080) (← links)
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (Q3174918) (← links)
- Joint Modelling of Gas and Electricity Spot Prices (Q3176519) (← links)
- Modelling Electricity Futures by Ambit Fields (Q3191820) (← links)
- VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING (Q3304218) (← links)
- Modelling Electricity Prices with Forward Looking Capacity Constraints (Q3395723) (← links)
- Modelling spikes and pricing swing options in electricity markets (Q3404103) (← links)
- Model Uncertainty in Commodity Markets (Q3465256) (← links)
- Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives (Q3502202) (← links)
- MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (Q3527433) (← links)
- Pricing of Swing Options in a Mean Reverting Model with Jumps (Q3617306) (← links)
- LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS (Q4571703) (← links)
- On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (Q4916404) (← links)
- Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (Q4976513) (← links)
- Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
- Discriminating Gaussian processes via quadratic form statistics (Q5000843) (← links)
- Modelling electricity prices: a time change approach (Q5001192) (← links)
- Correlators of Polynomial Processes (Q5013833) (← links)
