A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures

DOI10.1080/1350486X.2018.1438904MaRDI QIDQ4559324zbMATH OpenFDO

Authors Fred Espen Benth, Anca Pircalabu

Publication date 3 December 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2018.1438904

zbMATH Keywords

market price of riskOrnstein-Uhlenbeck processweather derivativeswind power futures

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• A new approach to wind power futures pricing
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
• Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

Cites work

• A fair pricing approach to weather derivatives
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• Automatic Block-Length Selection for the Dependent Bootstrap
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Dynamical pricing of weather derivatives
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Pricing weather derivatives by marginal value
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Stochastic integration on the real line
• Stochastic modeling of electricity and related markets.
• The implied market price of weather risk
• The Stationary Bootstrap
• Weather derivatives and stochastic modelling of temperature
• Weather Forecasting for Weather Derivatives

Cited in

(12)

• A new approach to wind power futures pricing
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes
• Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
• Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
• On non-negative modeling with CARMA processes
• Spatial dependencies of wind power and interrelations with spot price dynamics
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• Gamma-related Ornstein–Uhlenbeck processes and their simulation*
• Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
• Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
• A wind-dependent self-exiting electricity spot price model
• Wind power production modeling with CBI processes

This page was built for publication: A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4559324)