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Modelling electricity futures prices using seasonal path-dependent volatility · Study

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ArticleModelling electricity futures prices using seasonal path-dependent volatility

Viviana Fanelli2016

OA

Articlegreen2016

Modelling electricity futures prices using seasonal path-dependent volatility

Viviana Fanelli · Silvana Musti

28 citations·0/0 files stored·Applied Energy

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Stochastic processes and financial applications Market Dynamics and Volatility Energy Load and Power Forecasting

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1996RETHINKING RISK MANAGEMENT 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2000Energy derivatives : pricing and risk management 1997Energy Risk: Valuing and Managing Energy Derivatives 2003Regime jumps in electricity prices 2003Energy and power risk management : new developments in modeling, pricing and hedging 2002How Firms Should Hedge

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Year2016

Typearticle

Published2016-04-11

VenueApplied Energy

ISSN-L0306-2619

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.apenergy.2016.04.003

openalex_workW2336428175

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