Multivariate continuous-time modeling of wind indexes and hedging of wind risk

DOI10.1080/14697688.2020.1804606MaRDI QIDQ5014183zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Troels Sønderby Christensen, Victor Ulrich Rohde

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1804606

zbMATH Keywords

hedgingmultivariate Ornstein-Uhlenbeck processrisk premiumwind power futures

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On non-negative modeling with CARMA processes
• On the Laplace transform of the lognormal distribution
• Spectral representations of infinitely divisible processes
• The volatility of temperature and pricing of weather derivatives

Cited in

(10)

• Insuring wind energy production
• A new approach to wind power futures pricing
• On definition and estimation of wind risk
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Bayesian estimation of electricity price risk with a multi-factor mixture of densities
• Multivariate continuous-time autoregressive moving-average processes on cones
• PPA investments of minimal variability
• Climate risk and sovereign debt: country-level exposures and scarcity effects in green bonds
• Optimal hedging of prediction errors using prediction errors

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