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HMM filtering and parameter estimation of an electricity spot price model
12 references·2 citing·43 second hop
HMM filtering and parameter estimation of an electricity spot price model (2010)HMM filtering and parameter estimation of…A two-factor model for the electricity forward market (2009)A two-factor model for the el…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)Stochastic Modelling of Tempe…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…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…Option Formulas for Mean-Reverting Power Prices with Spikes (2002)Option Formulas for Mean-Reve…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Valuing Energy Options in a One Factor Model Fitted to Forward Prices (1999)Valuing Energy Options in a O…Energy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Price Wars and Collusion in the Spanish Electricity MarketPrice Wars and Collusion in t…Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach (2013)Pricing electricity derivativ…Filtering and forecasting commodity futures prices under an HMM framework (2013)Filtering and forecasting com…The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining (2010)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Renewable energy investments under different support schemes: A real options approach (2012)Theory of Rational Option Pricing (1973)Generalized autoregressive conditional heteroskedasticity (1986)Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (2005)Putting a Price on Temperature* (2007)The volatility of temperature and pricing of weather derivatives (2007)Noncooperative Collusion under Imperfect Price Information (1984)A Supergame-Theoretic Model of Price Wars during Booms (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Oligopoly equilibria in electricity contract markets (2007)Earnings Pressure and Competitive Behavior: Evidence from the U.S. Electricity Industry (2010)Understanding China’s electricity market reform from the perspective of the coal-fired power disparity (2014)Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Interest Rate Models Theory and Practice (2001)Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution (2010)How much should we pay for interconnecting electricity markets? A real options approach (2011)Modelling Electricity Futures by Ambit Fields (2014)Econometric Models and Economic Forecasts (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Market price of risk implied by Asian-style electricity options and futures (2007)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)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)A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)Stochastic modeling of financial electricity contracts (2007)Modelling Electricity Prices: International Evidence* (2011)Pricing and Hedging Spread Options (2003)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality473 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives427 cited
  • 2006Understanding the Fine Structure of Electricity Prices*386 cited
  • 2003Regime jumps in electricity prices363 cited
  • 2005Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives196 cited
  • n.d.Price Wars and Collusion in the Spanish Electricity Market188 cited
  • 1999Valuing Energy Options in a One Factor Model Fitted to Forward Prices114 cited
  • 2009A two-factor model for the electricity forward market88 cited
  • 2004Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market81 cited
  • 2002Option Formulas for Mean-Reverting Power Prices with Spikes81 cited

Cited by

  • 2013Filtering and forecasting commodity futures prices under an HMM framework42 cited
  • 2013Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach29 cited

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