Multi-layer model of correlated energy prices
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Publication:847241
DOI10.1016/J.CAM.2009.11.005zbMATH Open1201.91221OpenAlexW4206543073MaRDI QIDQ847241FDOQ847241
Authors: Slimane Grine, Pavel Diko 
Publication date: 12 February 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.11.005
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Cites Work
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Estimation of affine asset pricing models using the empirical characteristic function
- On Information and Sufficiency
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Affine processes and applications in finance
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Pricing and Hedging Spread Options
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- A multi-factor jump-diffusion model for commodities†
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