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dc.date.accessioned2013-03-12T08:19:38Z
dc.date.available2013-03-12T08:19:38Z
dc.date.issued2009en_US
dc.date.submitted2011-07-04en_US
dc.identifier.urihttp://hdl.handle.net/10852/10237
dc.description.abstractSpot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. Second order structure and stationary issues of the model are analysed. Moreover the implied multivariate forward model is derived. Due to the flexibility of the model stylized facts of the forward curve as contango, backwardation and humps are explained. Moreover, a transformed-based method to price options on the forward is described, where fast and precise algorithms for price computations can be implemented. A simulation method for Monte Carlo generation of price paths is introduced.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleA multivariate non-Gaussian stochastic volatility model with leverage for energy marketsen_US
dc.typeResearch reporten_US
dc.date.updated2011-07-04en_US
dc.creator.authorBenth, Fred Espenen_US
dc.creator.authorVos, Lindaen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28130en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo131775en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10237/1/pm20-09.pdf


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