Pages that link to "Item:Q3022099"

The following pages link to THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099):

Displaying 20 items.

• Forward pricing in the shipping freight market (Q263051) (← links)
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
• An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market (Q1657898) (← links)
• Exact simulation of normal tempered stable processes of OU type with applications (Q2080363) (← links)
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520) (← links)
• Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets (Q2837759) (← links)
• Variance optimal hedging for continuous time additive processes and applications (Q2875261) (← links)
• How to speed up the quantization tree algorithm with an application to swing options (Q2994841) (← links)
• THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (Q3100748) (← links)
• The Risk Premium and the Esscher Transform in Power Markets (Q3119080) (← links)
• Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (Q3174918) (← links)
• A two-factor model for the electricity forward market (Q3395734) (← links)
• A joint model for temperature and natural gas with an application to the US market (Q4555118) (← links)
• On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (Q4916404) (← links)
• Modelling the joint behaviour of electricity prices in interconnected markets (Q5139244) (← links)
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model (Q5312729) (← links)
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704) (← links)
• The volatility of temperature and pricing of weather derivatives (Q5433101) (← links)
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531) (← links)
• Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)