Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Fred Espen Benth, Marco Piccirilli, Tiziano Vargiolu
| Year of publication: |
2019
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|---|---|
| Authors: | Benth, Fred Espen ; Piccirilli, Marco ; Vargiolu, Tiziano |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 13.2019, 4, p. 543-577
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| Subject: | Energy markets | Forwards | Heath-Jarrow-Morton approach | Martingale property | Mean-reversion | Optionspreistheorie | Option pricing theory | Energiemarkt | Energy market | Martingal | Martingale | Zinsstruktur | Yield curve | Derivat | Derivative | Volatilität | Volatility | Mean Reversion | Mean reversion | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-019-00237-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055877