Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Year of publication: |
April 2018
|
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Authors: | Benth, Fred Espen ; Krühner, Paul |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 2, p. 327-366
|
Subject: | Energy markets | Heath-Jarrow-Morton modelling | Nonharmonic Fourier analysis | Arbitrage-free approximations | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing | Rohstoffderivat | Commodity derivative | Energiemarkt | Energy market | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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