The forward dynamics in energy markets – infinite-dimensional modelling and simulation

DOI10.1080/17442508.2014.895359MaRDI QIDQ2811117zbMATH OpenOpenAlexFDO

Authors Andrea Barth, Fred Espen Benth

Publication date 10 June 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/41887

zbMATH Keywords

random fieldsstochastic partial differential equationenergy marketsinfinite-dimensional analysisforward price

Mathematics Subject Classification ID

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)

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Cites work

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• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations

Cited in

(12)

• Energy futures prices: term structure models with Kalman filter estimation
• Modelling electricity futures by ambit fields
• From calendar time to business time: the case of commodity markets
• A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
• Representation of infinite-dimensional forward price models in commodity markets
• Application of continuous stochastic processes in energy market models
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
• A note on arbitrage‐free pricing of forward contracts in energy markets
• Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
• Approximation and simulation of infinite-dimensional Lévy processes
• Stochastic Models for Prices Dynamics in Energy and Commodity Markets
• Derivatives pricing in energy markets: an infinite-dimensional approach

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