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Modelling electricity prices by the potential jump-diffusion
13 references·3 citing·42 second hop
Modelling electricity prices by the potential jump-diffusion (2006)Modelling electricity prices by the poten…Modelling Electricity Prices: International Evidence* (2011)Modelling Electricity Prices:…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…Pricing electricity derivatives under alternative stochastic spot price models (2005)Pricing electricity derivativ…Disentangling diffusion from jumps (2004)Disentangling diffusion from …Regime jumps in electricity prices (2003)Regime jumps in electricity p…Modeling seasonality in agricultural commodity futures (2002)Modeling seasonality in agric…Modeling Electricity Prices: International Evidence (2002)Modeling Electricity Prices: …Energy and Power Risk Management (2002)Energy and Power Risk Managem…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…A Simplified Jump Process for Common Stock Returns (1983)A Simplified Jump Process for…A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns (1981)A Note on Estimating the Para…Transmission capacity between Norway and Germany: a real options analysis (2011)Transmission capacity between…Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives (2007)Using Affine Jump Diffusion M…Heavy tails and electricity prices (2005)Heavy tails and electricity p…The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps (1993)Normal mixture GARCH(1,1): applications to exchange rate modelling (2006)Fact or friction: Jumps at ultra high frequency (2014)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)The United States Department of Agriculture (1912)A Theory of the Term Structure of Interest Rates (1985)Investment under Uncertainty (1994)A selected review of agricultural commodity futures and options markets (2004)AnN‐factor Gaussian model of oil futures prices (2006)The valuation of multidimensional American real options using the LSM simulation method (2006)A long memory property of stock market returns and a new model (1993)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Jump risk, stock returns, and slope of implied volatility smile (2010)News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons (2010)An equilibrium characterization of the term structure (1977)Investment Under Uncertainty. (1994)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Econometric Models and Economic Forecasts (1990)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Market price of risk implied by Asian-style electricity options and futures (2007)Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007)Stochastic modeling of financial electricity contracts (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A spot market model for pricing derivatives in electricity markets (2004)Oil and gas markets in the UK: Evidence from a cointegrating approach (2006)Life cycle costing: a review of published case studies (2008)Pricing and Hedging Spread Options (2003)Research Commentary: Introducing a Third Dimension in Information Systems Design—The Case for Incentive Alignment (2001)A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)
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References

  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality473 cited
  • 2003Regime jumps in electricity prices363 cited
  • 2004Disentangling diffusion from jumps362 cited
  • 1983A Simplified Jump Process for Common Stock Returns279 cited
  • 2002Modeling seasonality in agricultural commodity futures248 cited
  • 2002Energy and Power Risk Management239 cited
  • 2002Modeling Electricity Prices: International Evidence187 cited
  • 2011Modelling Electricity Prices: International Evidence*184 cited
  • 1981A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns110 cited
  • 2005Pricing electricity derivatives under alternative stochastic spot price models74 cited

Cited by

  • 2005Heavy tails and electricity prices34 cited
  • 2011Transmission capacity between Norway and Germany: a real options analysis33 cited

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  • 2007Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives27 cited