Manpo Lai

Algorithmics Inc.

185 Spadina Avenue

Toronto M5T 2C6, Ontario

Canada

SCHOLARLY PAPERS

2

DOWNLOADS
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Top 39,595

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1,088

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (2)

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 1,084 (19,367)

Abstract:

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

2.

Calibration of Multifactor Models in Electricity Markets

Science Direct Working Paper No S1574-0358(04)70992-2
Number of pages: 22 Posted: 21 May 2018
Martin Barlow, Yuri Gusev and Manpo Lai
affiliation not provided to SSRN, IRMACS Centre, SFU and Algorithmics Inc.
Downloads 4 (626,685)

Abstract:

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electricity markets, multifactor models, stochastic differential equations, Kalman Filters, calibration of market models, C32, C52, Q40