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Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets
16 references·2 citing·41 second hop
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2013Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes111 cited
  • 2011A Critical Empirical Study of Three Electricity Spot Price Models108 cited
  • 2009Brownian semistationary processes and volatility/intermittency93 cited
  • 2009Electricity spot price modelling with a view towards extreme spike risk73 cited
  • 2011Estimation of stable CARMA models with an application to electricity spot prices60 cited
  • 2009Lévy driven moving averages and semimartingales53 cited
  • 2010Valuation and Risk Management in the Norwegian Electricity Market51 cited
  • 2014Modelling Electricity Futures by Ambit Fields41 cited
  • 2011On the optimal exercise of swing options in electricity markets

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26 cited
  • 2014Stochastic Integration on the Real Line25 cited
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    • 2015Ambit Fields: Survey and New Challenges20 cited
    • 2014Discretization of Lévy semistationary processes with application to estimation17 cited