SZodixStudyAcademic Library

Shelves Open access

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

Modeling electricity prices: jump diffusion and regime switching · Study

ArticleShelves

ArticleModeling electricity prices: jump diffusion and regime switching

Rafał Weron2004

Article2004

Modeling electricity prices: jump diffusion and regime switching

Rafał Weron · Michael Bierbrauer · Stefan Trück

254 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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 — 254 citations exist upstream.

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1977An equilibrium characterization of the term structure 1900Théorie de la spéculation 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2000Energy derivatives : pricing and risk management 1997Energy Risk: Valuing and Managing Energy Derivatives

Cited by

2015Adoption of residential solar power under uncertainty: Implications for renewable energy incentives 2009Modelling spikes and pricing swing options in electricity markets 2013A Survey of Commodity Markets and Structural Models for Electricity Prices 2021MFDFA: Efficient multifractal detrended fluctuation analysis in python 2004Modeling Electricity Prices with Regime Switching Models 2008A new approach to characterizing and forecasting electricity price volatility

Related works

Explore the map →

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

2005Forward curve dynamics in the Nordic electricity marketarticle · 5 shared references 2004Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity marketchapter · 5 shared references 2007Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivativesarticle · 5 shared references 2003Regime jumps in electricity pricesarticle · 4 shared references 2007Stochastic modeling of financial electricity contractsarticle · 4 shared references 2007Market price of risk implied by Asian-style electricity options and futuresarticle · 4 shared references

Details

Year2004

Typearticle

Published2004-02-07

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations254

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.physa.2004.01.008

openalex_workW2103187549

Links

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

2017

Exploring the price dynamics of CO2 emissions allowances in China's emissions trading scheme pilots

2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models