Polynomial processes for power prices

DOI10.1080/1350486X.2020.1715808MaRDI QIDQ5217497zbMATH OpenOpenAlexFDO

Authors Tony Ware

Publication date 24 February 2020

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

Full work available at URL https://doi.org/10.1080/1350486x.2020.1715808

zbMATH Keywords

electricity pricesenergy marketsJacobi processespolynomial processes

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A novel pricing method for European options based on Fourier-cosine series expansions
• An interest rate model with upper and lower bounds
• Bayesian filtering and smoothing
• Fast algorithms for discrete polynomial transforms
• Geometry of Reduced Moment Spaces
• On a semi-spectral method for pricing an option on a mean-reverting asset
• Polynomial diffusions and applications in finance
• Polynomial processes and their applications to mathematical finance
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Stochastic modeling of electricity and related markets.
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Cited in

(11)

• Modeling the intraday electricity demand in Germany
• Valuation of electricity storage contracts using the COS method
• Forecasting energy market contracts by ambit processes: empirical study and numerical results
• Dirichlet form analysis of the Jacobi process
• Correlators of polynomial processes
• A multifactor polynomial framework for long-term electricity forwards with delivery period
• Time-inhomogeneous polynomial processes in electricity spot price models
• On Optimal Linear Regulator with Polynomial Process of External Excitations
• Evaluation of integrals with fractional Brownian motion for different Hurst indices
• Abstract polynomial processes
• Parameter estimation for partially observed affine and polynomial processes

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