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

DOI10.1142/S0219024915500107zbMATH Open1337.91087OpenAlexW2161303781MaRDI QIDQ5249753FDOQ5249753

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

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• Representation of infinite-dimensional forward price models in commodity markets
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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)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• The implied market price of weather risk
• Lévy-driven CARMA processes
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Modeling and pricing in financial markets for weather derivatives
• THE CARMA INTEREST RATE MODEL

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

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