References

• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
• 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
• 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
• 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
• 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
• 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
• 2001Estimation of affine asset pricing models using the empirical characteristic function366 cited
• 2002The surprise element: jumps in interest rates337 cited
• 1990Hedging Pressure and Futures Price Movements in a General Equilibrium Model192 cited
• 2002Modeling Electricity Prices: International Evidence187 cited
• 1996A Simple Approach to Three-Factor Affine Term Structure Models154 cited
• 1996The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures153 cited