Blindern, N-0162, Os
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
calibration, temperature futures, pricing measure, mean reversion
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: mafi157.pdf
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Incomplete Markets, Minimal Variance Hedging, Levy Processes, Stochastic Derivatives, Chaos Expansions, Clark-Haussmann-Ocone Theorem
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2800100.pdf
gas derivatives, temperature derivatives, energy quanto options, quantity risk, pricing, hedging
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