Multi-layer model of correlated energy prices
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Cites work
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A multi-factor jump-diffusion model for commodities†
- A theory of the term structure of interest rates
- Affine processes and applications in finance
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Estimation of affine asset pricing models using the empirical characteristic function
- On Information and Sufficiency
- Pricing and Hedging Spread Options
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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