The forward dynamics in energy markets – infinite-dimensional modelling and simulation
DOI10.1080/17442508.2014.895359zbMATH Open1337.91086OpenAlexW2035886550MaRDI QIDQ2811117FDOQ2811117
Fred Espen Benth, Andrea Barth
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/41887
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random fieldsstochastic partial differential equationenergy marketsinfinite-dimensional analysisforward price
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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Cited In (11)
- Representation of infinite-dimensional forward price models in commodity markets
- Approximation and simulation of infinite-dimensional Lévy processes
- Energy futures prices: term structure models with Kalman filter estimation
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- A note on arbitrage‐free pricing of forward contracts in energy markets
- Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach
- From calendar time to business time: the case of commodity markets
- Modelling Electricity Futures by Ambit Fields
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
- Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
- Application of continuous stochastic processes in energy market models
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