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Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes
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  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
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  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
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  • 2014Futures pricing in electricity markets based on stable CARMA spot models79 cited

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2010
Estimation for Non-Negative Lévy-Driven CARMA Processes
76 cited

Cited by

  • 2017A rough multi-factor model of electricity spot prices29 cited
  • 2016Modelling electricity prices: a time change approach27 cited