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Stochastic modeling of financial electricity contracts

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 30 (2008) 3, pp. 1116-1157

Persistent link: https://www.econbiz.de/10003744845

Correlations among forward returns in the Nordic electricity market

Frestad, Dennis - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 589-603

Persistent link: https://www.econbiz.de/10003899483

Common and unique factors influencing daily swap returns in the Nordic electricity market, 1997 - 2005

Frestad, Dennis - In: Energy economics 30 (2008) 3, pp. 1081-1097

Persistent link: https://www.econbiz.de/10003744838

Correlations among Forward Returns in the Nordic Electricity Market

Frestad, Dennis - 2009

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return...

Persistent link: https://www.econbiz.de/10013153493

On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

HMM filtering and parameter estimation of an electricity spot price model

Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1043

Persistent link: https://www.econbiz.de/10008934330

Pricing futures and options in electricity markets

Benth, Fred Espen; Schmeck, Maren Diane - In: The interrelationship between financial and energy markets, (pp. 233-260). 2014

Persistent link: https://www.econbiz.de/10010411140

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006

Persistent link: https://www.econbiz.de/10003384971

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569