Martin T. Barlow

University of British Columbia (UBC) - Department of Mathematics

Dr.

1984 Mathematics Road

Vancouver, British Columbia V6T 1Z2

Canada

  • University of British Columbia (UBC) - Department of Mathematics

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1.

Calibration of Multifactor Models in Electricity Markets

International Journal of Theoretical and Applied Finance, Vol. 7, No. 2, pp. 101-120, March 2004
Number of pages: 22 Posted: 02 Nov 2004
Martin T. Barlow, Yuri Gusev and Manpo Lai
University of British Columbia (UBC) - Department of Mathematics, IRMACS Centre, SFU and Algorithmics Inc.
Downloads 1,086 (19,692)

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Electricity markets, mean-reverting commodity prices, multifactor models, stochastic differential equations, Kalman Filters, calibration of market models

2.

A Diffusion Model for Electricity Prices

Mathematical Finance, Vol. 12, pp. 287-298, 2002
Number of pages: 12 Posted: 27 Dec 2002
Martin T. Barlow
University of British Columbia (UBC) - Department of Mathematics
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