A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

DOI10.1111/J.0960-1627.2005.00216.XMaRDI QIDQ5464341zbMATH OpenOpenAlexFDO

Authors Josef Teichmann

Publication date 17 August 2005

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2005.00216.x

zbMATH Keywords

affine modelspot-price model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Electricity futures price modeling with Lévy term structure models
• scientific article; zbMATH DE number 1724292
• Modelling electricity futures by ambit fields
• Nonaffine models of yield term structure
• Pricing electricity risk by interest rate methods

Cites work

• Consistency problems for Heath-Jarrow-Morton interest rate models
• Existence of invariant manifolds for stochastic equations in infinite dimension
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Stochastic Equations in Infinite Dimensions

This page was built for publication: A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5464341)