Modelling electricity swaps with stochastic forward premium models
Year of publication: |
March 2018
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Authors: | Blanco, Iván ; Peña Sánchez de Rivera, Juan Ignacio ; Rodríguez, Rosa |
Published in: |
The energy journal. - Boston, Mass. [u.a.] : Oelgeschlager, Gunn & Hain, ISSN 0195-6574, ZDB-ID 864319-2. - Vol. 39.2018, 2, p. 1-33
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Subject: | Electricity swaps | Stochastic forward premium | Multivariate Normal Inverse Gaussian distribution | Lévy processes | Stochastischer Prozess | Stochastic process | Swap | Risikoprämie | Risk premium | Elektrizitätswirtschaft | Electric power industry | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Statistische Verteilung | Statistical distribution | Währungsderivat | Currency derivative | Modellierung | Scientific modelling |
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