Similar Search Results

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

Persistent link: https://www.econbiz.de/10009624466

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

Persistent link: https://www.econbiz.de/10011403170

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

Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324

Persistent link: https://www.econbiz.de/10001864238

On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

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

Persistent link: https://www.econbiz.de/10011800392

A note on arbitrage-free pricing of forward contracts in energy markets

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied mathematical finance 10 (2003) 4, pp. 325-336

Persistent link: https://www.econbiz.de/10001864254

The normal inverse gaussian distribution and spot price modelling in energy markets

Benth, Fred Espen; Šaltytė-Benth, Jūratė - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10002021511

Stochastic modelling of temperature variations with a view towards weather derivatives

Benth, Fred Espen; Šaltyté-Benth, Jūraté - In: Applied mathematical finance 12 (2005) 1, pp. 53-85

Persistent link: https://www.econbiz.de/10002727063