Mean-reverting no-arbitrage additive models for forward curves in energy markets
Year of publication: |
2019
|
---|---|
Authors: | Latini, Luca ; Piccirilli, Marco ; Vargiolu, Tiziano |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 79.2019, p. 157-170
|
Subject: | Additive models for energy forward contracts | Heath-Jarrow-Morton methodology | Maximum likelihood estimation | Mean-reversion | Quadratic variation/covariation | Term structure of volatility | Zinsstruktur | Yield curve | Volatilität | Volatility | Energiemarkt | Energy market | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung |
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