MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES

DOI10.1142/S0219024908004907MaRDI QIDQ3527433zbMATH OpenOpenAlexFDO

Authors Thilo Meyer-Brandis, Peter Tankov

Publication date 29 September 2008

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

Full work available at URL https://doi.org/10.1142/s0219024908004907

zbMATH Keywords

electricity pricesLévy-driven Ornstein-Uhlenbeck type processesmulti-factor modelsnonlinear filteringstatistical estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• Smoothers for Discontinuous Signals
• Some aspects of extreme value statistics under serial dependence

Cited in

(29)

• Self-exciting jump processes with applications to energy markets
• Modeling the intraday electricity demand in Germany
• Application of continuous stochastic processes in energy market models
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
• Exact simulation of normal tempered stable processes of OU type with applications
• Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
• A jump-diffusion model for pricing electricity under price-cap regulation
• A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
• Stochastic multifactor modeling of spot electricity prices
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Pricing options on forwards in energy markets: the role of mean reversion's speed
• Electricity spot price modelling with a view towards extreme spike risk
• The risk premium and the Esscher transform in power markets
• Joint Modelling of Gas and Electricity Spot Prices
• ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Modelling electricity prices: a time change approach
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
• Modelling the joint behaviour of electricity prices in interconnected markets
• Estimating fast mean-reverting jumps in electricity market models
• Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
• Estimation of stable CARMA models with an application to electricity spot prices
• Computing deltas without derivatives
• Normal Tempered Stable Processes and the Pricing of Energy Derivatives
• Modeling electricity loads in California: a continuous-time approach
• Adaptive estimation of intensity in a doubly stochastic Poisson process
• Risk Valuation of Quanto Derivatives on Temperature and Electricity
• A wind-dependent self-exiting electricity spot price model

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