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Modelling electricity futures prices using seasonal path-dependent volatility
16 references·1 citing·41 second hop
Modelling electricity futures prices using seasonal path-dependent volatility (2016)Modelling electricity futures prices usin…Forecasting the term structure of crude oil futures prices with neural networks (2015)Forecasting the term structur…Selective hedging in hydro-based electricity companies (2013)Selective hedging in hydro-ba…Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities (2012)Modelling and forecasting fos…A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES (2012)A STRUCTURAL RISK‐NEUTRAL MOD…Valuation and Risk Management in the Norwegian Electricity Market (2010)Valuation and Risk Management…Stochastic modeling of financial electricity contracts (2007)Stochastic modeling of financ…Pricing electricity risk by interest rate methods (2005)Pricing electricity risk by i…Forward curve dynamics in the Nordic electricity market (2005)Forward curve dynamics in the…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…How Firms Should Hedge (2002)How Firms Should HedgeElectricity 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 …Energy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…RETHINKING RISK MANAGEMENT (1996)RETHINKING RISK MANAGEMENTBond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…R&D investment decision on smart cities: Energy sustainability and opportunity (2021)R&D investment decision on sm…Option pricing when underlying stock returns are discontinuous (1976)Volatility and Price Jumps in Agricultural Futures Prices—Evidence from Wheat Options (2004)Brownian Motion and Stochastic Calculus (2007)A two-factor model for the electricity forward market (2009)Electricity price modeling and asset valuation: a multi-fuel structural approach (2012)“Options, Futures, and Other Derivatives” (2016)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)The Determinants of Firms' Hedging Policies (1985)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)The Relationship Between Corporate Philanthropy And Shareholder Wealth: A Risk Management Perspective (2005)A framework of sustainable supply chain management: moving toward new theory (2008)Environmental risk management and the cost of capital (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Growing green? Forecasting CO2 emissions with Environmental Kuznets Curves and Logistic Growth Models (2015)Forecasting coking coal prices by means of ARIMA models and neural networks, considering the transgenic time series theory (2019)Forecasting carbon price trends based on an interpretable light gradient boosting machine and Bayesian optimization (2023)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Determinants of corporate borrowing (1977)Operational Flexibility and Financial Hedging: Complements or Substitutes? (2010)Who times the foreign exchange market? Corporate speculation and CEO characteristics (2012)Government as Customer of Last Resort: The Stabilizing Effects of Government Purchases on Firms (2019)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)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)Pricing and Hedging Spread Options (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)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

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1996RETHINKING RISK MANAGEMENT1,205 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
  • 2003Regime jumps in electricity prices363 cited
  • 2003Energy and power risk management : new developments in modeling, pricing and hedging347 cited
  • 2002How Firms Should Hedge175 cited
  • 2012Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities170 cited
  • 2007Stochastic modeling of financial electricity contracts161 cited
  • 2005Forward curve dynamics in the Nordic electricity market140 cited
  • 2015Forecasting the term structure of crude oil futures prices with neural networks87 cited
  • 2012A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES62 cited
  • 2010Valuation and Risk Management in the Norwegian Electricity Market51 cited
  • 2005Pricing electricity risk by interest rate methods40 cited

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  • 2013Selective hedging in hydro-based electricity companies30 cited
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    • 2021R&D investment decision on smart cities: Energy sustainability and opportunity23 cited