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A branching process approach to power markets

Author

Listed:
  • Ying Jiao

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Chunhua Ma
  • Simone Scotti
  • Carlo Sgarra

Abstract

No abstract is available for this item.

Suggested Citation

  • Ying Jiao & Chunhua Ma & Simone Scotti & Carlo Sgarra, 2019. "A branching process approach to power markets," Post-Print hal-02954986, HAL.
    • Handle: RePEc:hal:journl:hal-02954986
    DOI: 10.1016/j.eneco.2018.03.002
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    Cited by:

    1. Song, Shiyu, 2024. "The valuation of arithmetic Asian options with mean reversion and jump clustering," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    2. 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).
    3. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
    4. Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.
    5. Aur'elien Alfonsi & Guillaume Szulda, 2024. "On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients," Papers 2402.19203, arXiv.org, revised Jul 2024.
    6. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
    7. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2022. "CBI-time-changed Lévy processes," Working Papers 05/2022, University of Verona, Department of Economics.

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