Multivariate continuous-time modeling of wind indexes and hedging of wind risk

DOI10.1080/14697688.2020.1804606zbMATH1479.91390OpenAlexW3094387674MaRDI QIDQ5014183FDOQ5014183

Authors Fred Espen Benth, Troels Sønderby Christensen, Victor Ulrich Rohde

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1804606

zbMATH Keywords

hedgingrisk premiummultivariate Ornstein-Uhlenbeck processwind power futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On non-negative modeling with CARMA processes
• On the Laplace transform of the lognormal distribution
• Spectral representations of infinitely divisible processes
• The volatility of temperature and pricing of weather derivatives

Cited in

(9)

• PPA investments of minimal variability
• Multivariate continuous-time autoregressive moving-average processes on cones
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• Insuring wind energy production
• On definition and estimation of wind risk
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Optimal hedging of prediction errors using prediction errors
• A new approach to wind power futures pricing
• Bayesian estimation of electricity price risk with a multi-factor mixture of densities

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