Bootstrapping Time-Averaged Energy Futures: An Algorithmic Framework

DOI10.1080/1350486X.2026.2697734MaRDI QIDQ7410569zbMATH OpenFDO

Authors Andrea Di Iura

Publication date 2026

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2026.2697734

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Interpolation Methods for Curve Construction
• On the construction of hourly price forward curves for electricity prices
• Seasonal and stochastic effects in commodity forward curves

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