Center of Mathematics for Applications
University of Oslo
in Total Papers Downloads
in Total Papers Citations
Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias
interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration
Asian options, energy markets, trading restrictions, quadratic hedging, moment matching
Electricity Markets, Forward Prices, Random Fields, Ambit Fields, Levy Basis, Samuelson Effect, Stochastic Volatility
Power Market, Derivatives Pricing, Independent Increments Processes, Esscher Transform, Risk Premium
Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price
Information premium, Electricity markets, Forwards, Options, Enlargement of Filtrations
Energy markets, Ornstein-Uhlenbeck process, Stochastic volatility, Subordinators
Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance
Electricity markets, risk premium, information premium,spot-forward relationship, enlargement of filtrations, Gaussian and non-Gaussian Ornstein-Uhlenbeck processes, Hilbert space representation
stochastic volatility, utility indifference option pricing, risk aversion, Lévy processes
futures contract, commodity markets, portfolio optimization, stochastic partial differential equations, finite-dimensional realization, invariant foliation
Ambit fields, commodities, forward prices, spread options
energy markets, forward price, generalised hyperbolic distribution, Lévy semistationary process, volatility modulated Lévy-driven Volterra process, stochastic integration, stochastic volatility, Samuelson effect, spot price
Cointegration, risk premium, CARMA processes, commodity markets, spot and forward relationship, Heath-Jarrow-Morton modeling
Green certificates, Optimal decision rule, Empirical analysis, NIG distribution
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2986067.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
green certificates, optimal decision rule, empirical analysis, normal inverse Gaussian (NIG) distribution, singular stochastic control, dynamic programming
wind power futures, Ornstein-Uhlenbeck process, weather derivatives, market price of risk
Freight rates, autoregressive models in continuous time, cointegration, Forward freight agreements
Photovoltaic power generation, stochastic modelling, time series, electricity prices, quanto options
Day-Ahead Electricity Prices, Market Coupling, Copula Models, Tail Dependence, Financial Transmission Rights, Tail Quantile Forecasting
File name: SSRN-id2906718.
calibration, temperature futures, pricing measure, mean reversion, continuous-time autoregressive (CAR) processes, half-life
File name: SSRN-id2789607.
energy markets, pricing, hedging, Black-76 model
gas markets, quanto options, HDD futures, temperature, energy, derivatives pricing, weather derivatives
Energy markets, spread options, Asian options, fast Fourier transform, non-Gaussian Ornstein–Uhlenbeck processes, independent increment processes
interest-rate guarantees, utility indifference pricing, hedging, arbitrage-free pricing, correlation, risk
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.746 seconds