Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of CO₂ and fuel-switching

DOI10.1007/S10479-015-1967-5MaRDI QIDQ1699079zbMATH OpenOpenAlexFDO

Authors Julien Chevallier, Stéphane Goutte

Publication date 16 February 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-015-1967-5

zbMATH Keywords

stochastic processesOR in energynormal inverse Gaussian\(\mathrm{CO}_2\)fuel-switchingLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites work

• A Lévy process-based framework for the fair valuation of participating life insurance contracts
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• Tests of fit for normal inverse Gaussian distributions
• The Variance Gamma Process and Option Pricing
• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing

Cited in

(4)

• Regime-switching temperature dynamics model for weather derivatives
• Non-maturing deposits modelling in an Ornstein-Uhlenbeck framework
• Variance swaps under the threshold Ornstein-Uhlenbeck model
• Lévy score function and score-based particle algorithm for nonlinear Lévy-Fokker-Planck equations

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