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A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method
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A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method (2018)A generalized Schwartz model for energy s…Modeling energy price dynamics: GARCH versus stochastic volatility (2015)Modeling energy price dynamic…Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Optimal Filtering of Jump Dif…Modelling spikes and pricing swing options in electricity markets (2009)Modelling spikes and pricing …A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)A Non‐Gaussian Ornstein–Uhlen…Stochastic volatility : selected readings (2005)Stochastic volatility : selec…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…Modeling electricity prices: jump diffusion and regime switching (2004)Modeling electricity prices: …Regime jumps in electricity prices (2003)Regime jumps in electricity p…Energy and power risk management : new developments in modeling, pricing and hedging (2003)Energy and power risk managem…Alternative models for stock price dynamics (2003)Alternative models for stock …Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Normal Modified Stable Processes (2001)Normal Modified Stable Proces…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…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)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Pricing of Options and Corporate Liabilities (1973)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)The Relative Contribution of Jumps to Total Price Variance (2005)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Numerical solution of stochastic differential equations (2016)An equilibrium characterization of the term structure (1977)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)Econometric Models and Economic Forecasts (1990)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)Stochastic modeling of financial electricity contracts (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)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)Chapter 15 Volatility and Correlation Forecasting (2006)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)Copula Methods for Forecasting Multivariate Time Series (2013)There is a risk-return trade-off after all (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Volatility and Macroeconomic Fundamentals (2012)Pricing and Hedging Spread Options (2003)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Valuation of energy storage: an optimal switching approach (2009)
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References

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  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
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  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2015Modeling energy price dynamics: GARCH versus stochastic volatility194 cited
  • 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices193 cited
  • 2001Normal Modified Stable Processes

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128 cited
  • 2009Modelling spikes and pricing swing options in electricity markets112 cited
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