MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
Year of publication: |
2008
|
---|---|
Authors: | MEYER-BRANDIS, THILO ; TANKOV, PETER |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 11.2008, 05, p. 503-528
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Electricity prices | multi-factor models | Lévy-driven Ornstein–Uhlenbeck type processes | statistical estimation | nonlinear filtering |
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