CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS

DOI10.1142/S0219024904002396zbMath1107.91307MaRDI QIDQ3022092

Martin T. Barlow, Manpo Lai, Yuri V. Gusev

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationselectricity marketsKalman Filterscalibration of market modelsmean-reverting commodity pricesmultifactor models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Uses Software

• fminsearch

Cites Work

• Unnamed Item
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Simplex Method for Function Minimization