Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

DOI10.1142/S0219024915500107MaRDI QIDQ5249753zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Sara Ana Solanilla Blanco

Publication date 11 May 2015

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024915500107

zbMATH Keywords

stationary processesenergy marketsinterest rate theoryforward priceLévy processescontinuous-time autoregressive moving average processesspot-forward relationshipweather markets

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10)

Recommendations

• Representation of infinite-dimensional forward price models in commodity markets
• Forward Prices in Markets Driven by Continuous-time Autoregressive Processes
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets

Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Lévy-driven CARMA processes
• Modeling and pricing in financial markets for weather derivatives
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• THE CARMA INTEREST RATE MODEL
• The implied market price of weather risk

Cited in

(5)

• Representation of infinite-dimensional forward price models in commodity markets
• Forward pricing in the shipping freight market
• Approximating Lévy semistationary processes via Fourier methods in the context of power markets
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
• Forward Prices in Markets Driven by Continuous-time Autoregressive Processes

This page was built for publication: Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5249753)