Blindern, N-0162, Os
Norway
SSRN RANKINGS
in Total Papers Citations
spatio-temporal models, price forward curves, term structure volatility, risk premia, electricity markets
Electricity Market, Gas Market, Weather Derivatives, Temperature, Energy Market, Mean Reversion, Ornstein-Uhlenbeck Processes, Jump Processes, Levy Processes, Futures Contracts, Forward Contracts, Options
Electricty spot price, mean-reversion, spikes, jump-diffusion, Ornstein-Uhlenbeck process, electricity forwards, forward risk premium
Forward prices, stochastic volatility, leverage, Ornstein-Uhlenbeck processes in Hilbert space, positive definite operators, Fourier transform, L\'evy processes.
calibration, temperature futures, pricing measure, mean reversion
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gas derivatives, temperature derivatives, energy quanto options, quantity risk, pricing, hedging
