Multi-layer model of correlated energy prices

DOI10.1016/j.cam.2009.11.005zbMath1201.91221OpenAlexW4206543073MaRDI QIDQ847241

Pavel Diko, Slimane Grine

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

zbMATH Keywords

correlationelectricity marketsaffine jump-diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Affine processes and applications in finance
• A Theory of the Term Structure of Interest Rates
• A multi-factor jump-diffusion model for commodities†
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Pricing and Hedging Spread Options
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On Information and Sufficiency
• Estimation of affine asset pricing models using the empirical characteristic function

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