A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets

Katja Ignatieva

Year of publication:	2014
Authors:	Ignatieva, Ekaterina
Published in:	Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 5, p. 483-505
Subject:	Electricity modeling \| nonparametric estimation \| futures pricing \| market price of risk \| Strompreis \| Electricity price \| Derivat \| Derivative \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Rohstoffderivat \| Commodity derivative \| Schätzung \| Estimation \| Elektrizitätswirtschaft \| Electric power industry \| Spotmarkt \| Spot market \| Energiemarkt \| Energy market \| Optionspreistheorie \| Option pricing theory

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