Common and unique factors influencing daily swap returns in the Nordic electricity market, 1997-2005
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- Chai, Shanglei & Zhang, Xichun & Abedin, Mohammad Zoynul & Chen, Huizheng & Lucey, Brian & Hajek, Petr, 2023. "An optimized GRT model with blockchain digital smart contracts for power generation enterprises," Energy Economics, Elsevier, vol. 128(C).
- Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
- Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
- Dennis Frestad & Fred Espen Benth & Steen Koekebakker, 2010. "Modeling Term Structure Dynamics in the Nordic Electricity Swap Market," The Energy Journal, , vol. 31(2), pages 53-86, April.
- Fred Espen Benth & Paul Kruhner, 2014. "Derivatives pricing in energy markets: an infinite dimensional approach," Papers 1412.7943, arXiv.org.
- Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
- Fred Espen Benth & Nils Detering & Silvia Lavagnini, 2021. "Accuracy of deep learning in calibrating HJM forward curves," Digital Finance, Springer, vol. 3(3), pages 209-248, December.
- Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
- Nicola Secomandi & Guoming Lai & François Margot & Alan Scheller-Wolf & Duane J. Seppi, 2015. "Merchant Commodity Storage and Term-Structure Model Error," Manufacturing & Service Operations Management, INFORMS, vol. 17(3), pages 302-320, July.
- Iván Blanco & Juan Ignacio Peña & Rosa RodrÃguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, , vol. 39(2), pages 1-34, March.
- Thomas Deschatre & Olivier F'eron & Pierre Gruet, 2021. "A survey of electricity spot and futures price models for risk management applications," Papers 2103.16918, arXiv.org, revised Jul 2021.
- Fred Espen Benth & Nils Detering & Silvia Lavagnini, 2020. "Accuracy of Deep Learning in Calibrating HJM Forward Curves," Papers 2006.01911, arXiv.org, revised May 2021.
- Iván Blanco, Juan Ignacio Peña, and Rosa Rodriguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
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- Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
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