CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS

DOI10.1142/S0219024904002396MaRDI QIDQ3022092zbMATH OpenFDO

Authors Martin T. Barlow, Yuri V. Gusev, Manpo Lai

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024904002396

zbMATH Keywords

calibration of market modelselectricity marketsKalman Filtersmean-reverting commodity pricesmultifactor modelsstochastic differential equations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Simplex Method for Function Minimization
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• scientific article; zbMATH DE number 777596 (Why is no real title available?)

Cited in

(15)

• Forecasting energy commodity prices using neural networks
• Stochastic multifactor modeling of spot electricity prices
• Pricing options on forwards in energy markets: the role of mean reversion's speed
• Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
• Multidimensional calibration of crude oil and refined products via semidefinite programming techniques
• Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
• Modelling electricity futures by ambit fields
• Electricity futures price models: calibration and forecasting
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• Financial pricing models in continuous time and Kalman filtering
• Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing
• MCMC calibration of spot-prices models in electricity markets
• Fast calibration of two-factor models for energy option pricing
• Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets

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