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On the Term Structure of Futures and Forward Prices · Study

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ChapterOn the Term Structure of Futures and Forward Prices

Tomas Björk2002

Chapter2002

On the Term Structure of Futures and Forward Prices

Tomas Björk · Camilla Landén

47 citations·0/0 files stored·Springer finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1990Pricing Interest-Rate-Derivative Securities 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1987Limit Theorems for Stochastic Processes 1998Arbitrage Theory in Continuous Time

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2004A Two-Factor Model for Commodity Prices and Futures Valuation 200412 Modeling Electricity Forward Curve Dynamics in the Nordic Market 2005Electricity load pattern hedging with static forward strategies 2021A survey of electricity spot and futures price models for risk management applications

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Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-12429-1_7

openalex_workW2113069062

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