Electricity futures price models: calibration and forecasting
DOI10.1016/J.EJOR.2015.05.063zbMATH Open1346.91233OpenAlexW1760685249MaRDI QIDQ319946FDOQ319946
Authors: Suren Islyaev, Paresh Date 
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/11133
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Stochastic models in economics (91B70)
Cites Work
- Financial Modelling with Jump Processes
- A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
- Option pricing when underlying stock returns are discontinuous
- A survey of stochastic modelling approaches for liberalised electricity markets
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Energy futures prices: term structure models with Kalman filter estimation
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- General theory of geometric Lévy models for dynamic asset pricing
Cited In (13)
- On the construction of hourly price forward curves for electricity prices
- CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
- Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
- Modelling jumps in electricity prices: theory and empirical evidence
- Energy futures prices: term structure models with Kalman filter estimation
- Long-term swings and seasonality in energy markets
- Automated electricity price forecast using combined models
- Analysis and Modelling of Electricity Futures Prices
- A two-factor model for the electricity forward market
- An explicitly solvable Heston model with stochastic interest rate
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
- Seasonal volatility in agricultural markets: modelling and empirical investigations
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