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A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10003542981
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Utility-based derivative pricing in incomplete markets
Kallsen, Jan - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 313-338). 2002
Persistent link: https://www.econbiz.de/10001679455
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Derivative pricing based on local utility maximization
Kallsen, Jan - In: Finance and stochastics 6 (2002) 1, pp. 115-140
Persistent link: https://www.econbiz.de/10001643758
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Option pricing
Kallsen, Jan - In: Handbook of financial time series, (pp. 599-613). 2009
Persistent link: https://www.econbiz.de/10003834189
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Multi-Factor Jump-Diffusion Models of Electricity Prices
Meyer-Brandis, Thilo; Tankov, Peter - 2009
The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can...
Persistent link: https://www.econbiz.de/10014200325
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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
Persistent link: https://www.econbiz.de/10009624466
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How duration between trades of underlying securities affects option prices
Cartea, Alvaro; Meyer-Brandis, Thilo - In: Review of finance : journal of the European Finance … 14 (2010) 4, pp. 749-785
Persistent link: https://www.econbiz.de/10008823633
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How does duration between trades of underlying securities affect option prices
Cartea, Alvaro (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003595139
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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
Persistent link: https://www.econbiz.de/10011403170
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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