SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Electricity futures price models: Calibration and forecasting · Study

ArticleShelves

ArticleElectricity futures price models: Calibration and forecasting

Suren Islyaev2015

Article2015

Electricity futures price models: Calibration and forecasting

Suren Islyaev · Paresh M Date

40 citations·0/0 files stored·European Journal of Operational Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Electric Power System Optimization Energy Load and Power Forecasting

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 40 citations exist upstream.

References

1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality 2006Understanding the Fine Structure of Electricity Prices*

Cited by

2015An explicitly solvable Heston model with stochastic interest rate 2021A survey of electricity spot and futures price models for risk management applications 2021Seasonal volatility in agricultural markets: modelling and empirical investigations 2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2021A survey of electricity spot and futures price models for risk management applicationsarticle · 8 shared references 2007Real options in the energy marketsthesis · 8 shared references 2021Electricity price modelling with stochastic volatility and jumps: An empirical investigationarticle · 7 shared references 2007Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivativesarticle · 7 shared references 2007Stochastic modeling of financial electricity contractsarticle · 6 shared references 2007Market price of risk implied by Asian-style electricity options and futuresarticle · 6 shared references

Details

Year2015

Typearticle

Published2015-05-30

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations40

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.ejor.2015.05.063

openalex_workW1760685249

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2016Long-Term Swings and Seasonality in Energy Markets