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Modelling Energy Spot Prices by Lévy Semistationary Processes

Barndorff-Nielsen, Ole E. - 2010

This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...

Persistent link: https://www.econbiz.de/10013144201

A critical empirical study of three electricity spot price models

Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616

Persistent link: https://www.econbiz.de/10009687984

Pricing futures and options in electricity markets

Benth, Fred Espen; Schmeck, Maren Diane - In: The interrelationship between financial and energy markets, (pp. 233-260). 2014

Persistent link: https://www.econbiz.de/10010411140

HMM filtering and parameter estimation of an electricity spot price model

Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1043

Persistent link: https://www.econbiz.de/10008934330

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006

Persistent link: https://www.econbiz.de/10003384971

Pricing of exotic energy derivatives based on arithmetic spot models

Benth, Fred Espen; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 491-506

Persistent link: https://www.econbiz.de/10003879078

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

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425