A two-factor model for the electricity forward market
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Cites work
- Basics of electricity derivative pricing in competitive markets
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- On the distributional distance between the lognormal LIBOR and swap market models
- Pricing electricity risk by interest rate methods
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
Cited in
(30)- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices
- Application of continuous stochastic processes in energy market models
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
- Exact simulation of normal tempered stable processes of OU type with applications
- Optimal control of electricity input given an uncertain demand
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
- Pricing and risk of swing contracts in natural gas markets
- Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool
- scientific article; zbMATH DE number 5961784 (Why is no real title available?)
- Modelling electricity futures by ambit fields
- Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
- NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
- A structural heath-Jarrow-Morton framework for consistent intraday spot and futures electricity prices
- Optimal cross-border electricity trading
- A multifactor polynomial framework for long-term electricity forwards with delivery period
- Estimating fast mean-reverting jumps in electricity market models
- On the seasonality in the implied volatility of electricity options
- Electricity futures price modeling with Lévy term structure models
- Calibration of a multifactor model for the forward markets of several commodities
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- Efficient simulation of coupled gas and power networks under uncertain demands
- Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market
- Fast calibration of two-factor models for energy option pricing
- Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets
- Multi-factor polynomial diffusion models and inter-temporal futures dynamics
- Hedging electricity swaptions using partial integro-differential equations
- Closed-form option formulas for Kou-like models
- The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging
- Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration
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