MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
DOI10.1142/S0219024908004907zbMATH Open1185.91191OpenAlexW2137451767MaRDI QIDQ3527433FDOQ3527433
Authors: Thilo Meyer-Brandis, Peter Tankov 
Publication date: 29 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908004907
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statistical estimationelectricity pricesnonlinear filteringmulti-factor modelsLévy-driven Ornstein-Uhlenbeck type processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
Cited In (28)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
- Self-exciting jump processes with applications to energy markets
- Modelling the joint behaviour of electricity prices in interconnected markets
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Modelling electricity prices: a time change approach
- A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
- Electricity spot price modelling with a view towards extreme spike risk
- Joint Modelling of Gas and Electricity Spot Prices
- The risk premium and the Esscher transform in power markets
- Estimating fast mean-reverting jumps in electricity market models
- Adaptive estimation of intensity in a doubly stochastic Poisson process
- Estimation of stable CARMA models with an application to electricity spot prices
- Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
- A jump-diffusion model for pricing electricity under price-cap regulation
- Stochastic multifactor modeling of spot electricity prices
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- Risk Valuation of Quanto Derivatives on Temperature and Electricity
- Modeling electricity loads in California: a continuous-time approach
- Time-changed CIR default intensities with two-sided mean-reverting jumps
- Pricing options on forwards in energy markets: the role of mean reversion's speed
- Exact simulation of normal tempered stable processes of OU type with applications
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Application of continuous stochastic processes in energy market models
- Modeling the intraday electricity demand in Germany
- Computing deltas without derivatives
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