Add to ORKGWe present a numerical method for pricing derivatives on electricity prices. The method is based on approximating the generator of the underlying process and can be applied for stochastic processes that are combinations of diusions and jump processes. The method is accurate even in the case of processes with fast mean-reversion and jumps of large magnitude. We illustrate the speed and accuracy of the method by pricing European and Bermudan options and calculating the hedge ratios of European options for the Geman-Roncoroni model for electricity prices
[Abstract] In this paper we consider the valuation of swing options with the possibility of incorpor...
Since the liberalisation of the energy market in Europe in the early 1990s, much opportunity to trad...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price and de...
We present a numerical method for pricing derivatives on electricity prices. The method is based on ...
We present a numerical method for pricing derivatives on electricity prices. The method is based on ...
>Magister Scientiae - MScWe discuss efficient Monte Carlo methods for pricing of electricity derivat...
Electricity markets around the world have gone through, or are currently in a deregulation phase. A...
The deregulation of power market has led to an increase in risk for both consumers and producers whe...
We propose a two-factor jump-diffusion model with seasonality for the valuation of electricity futur...
Of the several models introduced for the modelling of electricity prices, the one proposed by Geman ...
This paper presents an improved continuous-time Markov chain approximation (MCA) methodology for pri...
This paper considers the numerical pricing of European, American and Butterfly options whose asset p...
Of the several models introduced for the modelling of electricity prices, the one proposed by Geman ...
This thesis provides several contributions to quantitative finance for energy markets: electricity p...
The deregulation of regional electricity markets has led to more competitive prices but also higher ...
[Abstract] In this paper we consider the valuation of swing options with the possibility of incorpor...
Since the liberalisation of the energy market in Europe in the early 1990s, much opportunity to trad...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price and de...
We present a numerical method for pricing derivatives on electricity prices. The method is based on ...
We present a numerical method for pricing derivatives on electricity prices. The method is based on ...
>Magister Scientiae - MScWe discuss efficient Monte Carlo methods for pricing of electricity derivat...
Electricity markets around the world have gone through, or are currently in a deregulation phase. A...
The deregulation of power market has led to an increase in risk for both consumers and producers whe...
We propose a two-factor jump-diffusion model with seasonality for the valuation of electricity futur...
Of the several models introduced for the modelling of electricity prices, the one proposed by Geman ...
This paper presents an improved continuous-time Markov chain approximation (MCA) methodology for pri...
This paper considers the numerical pricing of European, American and Butterfly options whose asset p...
Of the several models introduced for the modelling of electricity prices, the one proposed by Geman ...
This thesis provides several contributions to quantitative finance for energy markets: electricity p...
The deregulation of regional electricity markets has led to more competitive prices but also higher ...
[Abstract] In this paper we consider the valuation of swing options with the possibility of incorpor...
Since the liberalisation of the energy market in Europe in the early 1990s, much opportunity to trad...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price and de...