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THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
6 references·12 citing·39 second hop
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this work references cited by second hop

References

  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives427 cited
  • 2002Energy and Power Risk Management239 cited

Cited by

  • 2009A two-factor model for the electricity forward market88 cited
  • 2012TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS80 cited
  • 2010THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS71 cited
  • 2007Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model56 cited
  • 2005A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model49 cited
  • 2018Stochastic Modeling of Wind Derivatives in Energy Markets46 cited
  • 2014Tail risk in energy portfolios40 cited
  • 2010Dynamic copula models for the spark spread39 cited
  • 2011The Risk Premium and the Esscher Transform in Power Markets

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39 cited
  • 2011A critical view on temperature modelling for application in weather derivatives markets35 cited
  • 2010Modeling Term Structure Dynamics in the Nordic Electricity Swap Market33 cited
  • 2021A survey of electricity spot and futures price models for risk management applications33 cited