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Consistent factor models for temperature markets

Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-24

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Electricity futures price modeling with Lévy term structure models

Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21

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A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López Cabrera, Brenda; Meyer-Brandis, Thilo - In: Energy economics 55 (2016), pp. 112-126

Persistent link: https://www.econbiz.de/10011663144

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López Cabrera, Brenda; Meyer-Brandis, Thilo - 2014

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...

Persistent link: https://www.econbiz.de/10010230563

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion

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On forward price modeling in power markets

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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

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Pricing derivatives of American and game type in incomplete markets

Kallsen, Jan; Kühn, Christoph - In: Finance and stochastics 8 (2004) 2, pp. 261-284

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Pricing options on variance in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 627-641

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