A structural model for electricity forward prices
Fred Espen Benth, Florentina Paraschiv
| Year of publication: |
May 2016
|
|---|---|
| Authors: | Benth, Fred Espen ; Paraschiv, Florentina |
| Publisher: |
St. Gallen : School of Finance, University of St. Gallen |
| Subject: | spatio-temporal models | price forward curves | term structure volatility | risk premia | electricity markets | Heath-Jarrow-Morton (HJM) approach | Strompreis | Electricity price | Volatilität | Volatility | Zinsstruktur | Yield curve | Futures | Risikoprämie | Risk premium | Korrelation | Correlation | Schweiz | Switzerland | 2009-2015 |
freely available
| Extent: | 1 Online-Ressource (circa 46 Seiten) Illustrationen |
|---|---|
| Series: | Working papers on finance. - Sankt Gallen, ZDB-ID 2252526-9. - Vol. no. 2016, 11 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686556