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Electricity futures price models: Calibration and forecasting
16 references·6 citing·39 second hop
Electricity futures price models: Calibration and forecasting (2015)Electricity futures price models: Calibra…A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)A Non‐Gaussian Ornstein–Uhlen…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…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…Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach (2004)Pricing Power Derivatives: A …Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market (2004)Modeling highly volatile and …Regime jumps in electricity prices (2003)Regime jumps in electricity p…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Modeling Electricity Prices: International Evidence (2002)Modeling Electricity Prices: …Energy futures prices: term structure models with Kalman filter estimation (2002)Energy futures prices: term s…A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability (2000)A Jump Diffusion Model for Op…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Seasonal volatility in agricultural markets: modelling and empirical investigations (2021)Seasonal volatility in agricu…Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? (2021)Analytic formulas for futures…A survey of electricity spot and futures price models for risk management applications (2021)A survey of electricity spot …Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market (2017)Electricity forward curves wi…Long-Term Swings and Seasonality in Energy Markets (2016)Long-Term Swings and Seasonal…An explicitly solvable Heston model with stochastic interest rate (2015)An explicitly solvable Heston…The pricing of commodity contracts (1976)Option valuation using the fast Fourier transform (1999)Market price of risk implied by Asian-style electricity options and futures (2007)Stochastic modeling of financial electricity contracts (2007)Modelling spikes and pricing swing options in electricity markets (2009)Energy Risk: Valuing and Managing Energy Derivatives (1997)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Modelling Electricity Prices: International Evidence* (2011)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)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)Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Theory of the Term Structure of Interest Rates (1985)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Energy derivatives : pricing and risk management (2000)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)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The Variance Gamma Process and Option Pricing (1998)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 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
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality473 cited
  • 2006Understanding the Fine Structure of Electricity Prices*386 cited
  • 2003Regime jumps in electricity prices363 cited
  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2002Modeling Electricity Prices: International Evidence187 cited
  • 2002Energy futures prices: term structure models with Kalman filter estimation139 cited
  • 2004Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market81 cited
  • 2005Pricing electricity derivatives under alternative stochastic spot price models74 cited

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2004
Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach
58 cited
  • 2000A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability43 cited
  • Cited by

    • 2015An explicitly solvable Heston model with stochastic interest rate34 cited
    • 2021A survey of electricity spot and futures price models for risk management applications33 cited
    • 2021Seasonal volatility in agricultural markets: modelling and empirical investigations29 cited
    • 2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?28 cited
    • 2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market22 cited
    • 2016Long-Term Swings and Seasonality in Energy Markets22 cited