Mean-reverting no-arbitrage additive models for forward curves in energy markets
Luca Latini, Marco Piccirilli, Tiziano Vargiolu
| Year of publication: |
2019
|
|---|---|
| Authors: | Latini, Luca ; Piccirilli, Marco ; Vargiolu, Tiziano |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 79.2019, p. 157-170
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| Subject: | Additive models for energy forward contracts | Heath-Jarrow-Morton methodology | Maximum likelihood estimation | Mean-reversion | Quadratic variation/covariation | Term structure of volatility | Volatilität | Volatility | Zinsstruktur | Yield curve | Energiemarkt | Energy market | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Energiewirtschaft | Energy sector |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012172269