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Futures pricing in electricity markets based on stable CARMA spot models

Citations

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Cited by:

  1. Pham, Viet Son, 2020. "Lévy-driven causal CARMA random fields," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7547-7574.
  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. Benth, Fred Espen & Koekebakker, Steen, 2015. "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, vol. 52(PA), pages 104-117.
  4. Borovkova, Svetlana & Schmeck, Maren Diane, 2017. "Electricity price modeling with stochastic time change," Energy Economics, Elsevier, vol. 63(C), pages 51-65.
  5. Fred Benth & Nils Detering, 2015. "Pricing and hedging Asian-style options on energy," Finance and Stochastics, Springer, vol. 19(4), pages 849-889, October.
  6. Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
  7. repec:hum:wpaper:sfb649dp2017-020 is not listed on IDEAS
  8. Markus Hess, 2020. "Pricing electricity forwards under future information on the stochastic mean-reversion level," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 751-767, December.
  9. Hinderks, W.J. & Wagner, A., 2020. "Factor models in the German electricity market: Stylized facts, seasonality, and calibration," Energy Economics, Elsevier, vol. 85(C).
  10. Przybyłowicz, Paweł & Szölgyenyi, Michaela, 2021. "Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift," Applied Mathematics and Computation, Elsevier, vol. 403(C).
  11. Fred Espen Benth & Heidar Eyjolfsson, 2015. "Representation and approximation of ambit fields in Hilbert space," Papers 1509.08272, arXiv.org.
  12. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2020. "Finite Mixture Approximation of CARMA(p,q) Models," Papers 2005.10130, arXiv.org, revised May 2020.
  13. 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.
  14. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
  15. Müller, Gernot & Seibert, Armin, 2019. "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, vol. 78(C), pages 267-277.
  16. 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.
  17. Melzer, Awdesch & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2017. "Pricing Green Financial Products," SFB 649 Discussion Papers 2017-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  18. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2022. "A Hawkes model with CARMA(p,q) intensity," Papers 2208.02659, arXiv.org, revised Aug 2022.
  19. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
  20. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
  21. Rowińska, Paulina A. & Veraart, Almut E.D. & Gruet, Pierre, 2021. "A multi-factor approach to modelling the impact of wind energy on electricity spot prices," Energy Economics, Elsevier, vol. 104(C).
  22. Fred Espen Benth & Hanna Zdanowicz, 2016. "Pricing And Hedging Of Energy Spread Options And Volatility Modulated Volterra Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-22, February.
  23. Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele, 2017. "Pricing of commodity derivatives on processes with memory," Papers 1711.00307, arXiv.org.
  24. Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
  25. Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.
  26. Péter Kevei, 2018. "Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 467-487, April.
  27. Fred Espen Benth & Hanna Zdanowicz, 2014. "Pricing and hedging of energy spread options and volatility modulated Volterra processes," Papers 1409.5801, arXiv.org.
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