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~isPartOf:"Finance"
~isPartOf:"SFB 649 Discussion Paper"
~person:"Figueroa, Marcelo_Gustavo"
~person:"Hoogland, Jiri"
~subject:"jump diffusion"
~type:"book"
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jump diffusion
Energy derivatives
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electricity spot and forward
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homogeneity
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local scale invariance
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mean reversion
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option pricing
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partial differential difference equations
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Figueroa, Marcelo_Gustavo
Hoogland, Jiri
Söhl, Jakob
2
Belomestny, Denis
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Cartea, Alvaro
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Neumann, Dimitri
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Reiß, Markus
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Trabs, Mathias
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Vellekoop, Michel
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Pricing in Electricity Markets: a Mean Reverting
Jump
Diffusion
Model with Seasonality
Cartea, Alvaro
;
Figueroa, Marcelo_Gustavo
-
EconWPA
-
2005
In this paper we present a mean-reverting
jump
diffusion
model for the electricity spot price. We obtain a closed …
Persistent link: https://www.econbiz.de/10005413200
Saved in:
2
Symmetries in
Jump-Diffusion
Models with Applications in Option Pricing and Credit Risk
Hoogland, Jiri
;
Neumann, Dimitri
;
Vellekoop, Michel
-
EconWPA
-
2002
Poisson processes, i.e.
jump-diffusion
models. It is shown that in this case too, the focus on symmetry aspects of the problem …
Persistent link: https://www.econbiz.de/10005561671
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