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Modeling electricity prices: jump diffusion and regime switching
7 references·16 citing·40 second hop
Modeling electricity prices: jump diffusion and regime switching (2004)Modeling electricity prices: jump diffusi…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Energy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Théorie de la spéculation (1900)Théorie de la spéculationFutures volatility forecasting based on big data analytics with incorporating an order imbalance effect (2022)Futures volatility forecastin…MFDFA: Efficient multifractal detrended fluctuation analysis in python (2021)MFDFA: Efficient multifractal…Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020)Efficient Asian option pricin…Exploring the price dynamics of CO2 emissions allowances in China's emissions trading scheme pilots (2017)Exploring the price dynamics …Investment in electric energy storage under uncertainty: a real options approach (2016)Investment in electric energy…Adoption of residential solar power under uncertainty: Implications for renewable energy incentives (2015)Adoption of residential solar…Quantitative Energy Finance (2013)Quantitative Energy FinanceA Survey of Commodity Markets and Structural Models for Electricity Prices (2013)A Survey of Commodity Markets…A model for hedging load and price risk in the Texas electricity market (2013)A model for hedging load and …Transmission capacity between Norway and Germany: a real options analysis (2011)Transmission capacity between…Pricing swing options in the electricity markets under regime-switching uncertainty (2010)Pricing swing options in the …Modeling Term Structure Dynamics in the Nordic Electricity Swap Market (2010)Modeling Term Structure Dynam…Modelling spikes and pricing swing options in electricity markets (2009)Modelling spikes and pricing …A new approach to characterizing and forecasting electricity price volatility (2008)A new approach to characteriz…Heavy tails and electricity prices (2005)Heavy tails and electricity p…Modeling Electricity Prices with Regime Switching Models (2004)Modeling Electricity Prices w…The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option valuation using the fast Fourier transform (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Electricity price modeling and asset valuation: a multi-fuel structural approach (2012)A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (2014)The pricing of commodity contracts (1976)Financial Modelling with Jump Processes (2003)Dual pricing of multi-exercise options under volume constraints (2010)A General Closed-Form Spread Option Pricing Formula (2013)Modeling spot price dependence in Australian electricity markets with applications to risk management (2015)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)On Jump Processes in the Foreign Exchange and Stock Markets (1988)Peer Effects in the Diffusion of Solar Photovoltaic Panels (2012)When households go solar: Determinants of uptake of a Photovoltaic Scheme and policy insights (2017)What drives home solar PV uptake? Subsidies, peer effects and visibility in Sweden (2019)Residential solar photovoltaic adoption behaviour: End-to-end review of theories, methods and approaches (2021)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives427 cited

Cited by

  • 2015Adoption of residential solar power under uncertainty: Implications for renewable energy incentives129 cited
  • 2009Modelling spikes and pricing swing options in electricity markets112 cited
  • 2013A Survey of Commodity Markets and Structural Models for Electricity Prices100 cited
  • 2021MFDFA: Efficient multifractal detrended fluctuation analysis in python89 cited
  • 2004Modeling Electricity Prices with Regime Switching Models86 cited
  • 2008A new approach to characterizing and forecasting electricity price volatility84 cited
  • 2017Exploring the price dynamics of CO2 emissions allowances in China's emissions trading scheme pilots77 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models71 cited
  • 2013A model for hedging load and price risk in the Texas electricity market64 cited
  • 2013Quantitative Energy Finance47 cited
  • 2016Investment in electric energy storage under uncertainty: a real options approach39 cited
  • 2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect34 cited
  • 2010Pricing swing options in the electricity markets under regime-switching uncertainty34 cited
  • 2005Heavy tails and electricity prices34 cited
  • 2011Transmission capacity between Norway and Germany: a real options analysis33 cited
  • 2010Modeling Term Structure Dynamics in the Nordic Electricity Swap Market33 cited