A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period
type: Item
instance of: scholarly article
title: A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period
zbMATH Open document ID: 1452.91310
DOI: 10.1137/19M1283264
author: Xi Kleisinger-Yu
author: Vlatka Komaric
author: Martin Larsson
author: Markus Regez
published in: SIAM Journal on Financial Mathematics
publication date: 2020-11-07T00:00:00Z
full work available at URL: https://arxiv.org/abs/1908.08954
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7271098
zbMATH Keywords: polynomial diffusions
zbMATH Keywords: electricity forwards
zbMATH Keywords: forward risk premium
zbMATH Keywords: market price of risk
zbMATH Keywords: local risk-minimization
describes a project that uses: DEoptim
MaRDI profile type: MaRDI publication profile
arXiv ID: 1908.08954
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description: scientific article; zbMATH DE number 7271098