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~subject:"jump diffusion"
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jump diffusion
Arbitrage-free Condition
1
Energy derivatives
1
HJM Models
1
Jump-Diffusion Models
1
electricity spot and forward
1
homogeneity
1
local scale invariance
1
mean reversion
1
option pricing
1
partial differential difference equations
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Cartea, Alvaro
1
Figueroa, Marcelo_Gustavo
1
Hoogland, Jiri
1
Neumann, Dimitri
1
Vellekoop, Michel
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Finance
International Journal of Theoretical and Applied Finance (IJTAF)
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International journal of financial engineering
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Risks
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Risks : open access journal
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SFB 649 Discussion Paper
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CESifo Working Paper
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CESifo Working Paper Series
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Econometrics
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Econometrics : open access journal
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International Journal of Financial Markets and Derivatives
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MPRA Paper
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Mathematics of operations research
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SFB 649 Discussion Papers
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The journal of futures markets
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The quarterly journal of finance
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Applied Mathematical Finance
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Applied economics letters
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CESifo working papers
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Chapman & Hall/CRC financial mathematics series
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1
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales)
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Dissertation.de
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Handbook of heavy tailed distributions in finance
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International Journal of Financial Studies
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Multinational Finance Journal
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1
Pricing in Electricity Markets: a Mean Reverting
Jump
Diffusion
Model with Seasonality
Cartea, Alvaro
;
Figueroa, Marcelo_Gustavo
-
EconWPA
-
2005
In this paper we present a mean-reverting
jump
diffusion
model for the electricity spot price. We obtain a closed …
Persistent link: https://www.econbiz.de/10005413200
Saved in:
2
Symmetries in
Jump-Diffusion
Models with Applications in Option Pricing and Credit Risk
Hoogland, Jiri
;
Neumann, Dimitri
;
Vellekoop, Michel
-
EconWPA
-
2002
Poisson processes, i.e.
jump-diffusion
models. It is shown that in this case too, the focus on symmetry aspects of the problem …
Persistent link: https://www.econbiz.de/10005561671
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