Multivariate continuous-time modeling of wind indexes and hedging of wind risk
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Publication:5014183
DOI10.1080/14697688.2020.1804606zbMATH Open1479.91390OpenAlexW3094387674MaRDI 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
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Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Title not available (Why is that?)
- Spectral representations of infinitely divisible processes
- On the Laplace transform of the lognormal distribution
- A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
- The volatility of temperature and pricing of weather derivatives
- On non-negative modeling with CARMA processes
Cited In (6)
- Bayesian estimation of electricity price risk with a multi-factor mixture of densities
- Optimal hedging of prediction errors using prediction errors
- PPA investments of minimal variability
- A new approach to wind power futures pricing
- Multivariate continuous-time autoregressive moving-average processes on cones
- On definition and estimation of wind risk
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