Pricing electricity day-ahead cap futures with multifactor skew-t densities

DOI10.1080/14697688.2021.1984553MaRDI QIDQ5079374zbMATH OpenOpenAlexFDO

Authors Takuji Matsumoto, Derek W. Bunn, Yuji Yamada

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2021.1984553

zbMATH Keywords

cap futureselectricity pricesGAMLSShedgingskew-t density

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Skew Extension of the T-Distribution, with Applications
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Comments on ``Modular regression -- a Lego system for building structured additive distributional regression models with tensor product interactions
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• Derivatives: the tools that changed finance.
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Electricity derivatives
• Generalized Additive Models for Location, Scale and Shape
• scientific article; zbMATH DE number 3980216 (Why is no real title available?)
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
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• Information and option pricings
• Modeling and Inference with v-Spherical Distributions
• Saddlepoint methods for option pricing
• Sinh-arcsinh distributions
• Systems of frequency curves derived from the first law of Laplace
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The power of weather

Cited in

(1)

• Bayesian estimation of electricity price risk with a multi-factor mixture of densities

Describes a project that uses

Uses Software

• Derivatives
• GAMLSS

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