Stochastic volatility and multi-dimensional modeling in the European energy market
Appears in the following Collection
- Matematisk institutt 
AbstractList of papers. Papers 1 and 4 are removed from the thesis due to publisher restrictions. These papers are chapters 2 and 5 in the thesis.
Paper 1 / Chapter 2: Vos, Linda. Path dependent options and the effect of stochastic volatility. Submitted.
Paper 2 / Chapter 3: Benth, Fred Espen; Vos, Linda. Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets. Advances in Applied Probability 2013 ;Volum 45.(2) s. 545-571. Copyright Applied Probability Trust 2013. doi:10.1239/aap/1370870129
Paper 3 / Chapter 4: Benth, Fred Espen; Vos, Linda. Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets. Advances in Applied Probability 2013 ;Volum 45.(2) s. 572-594. Copyright Applied Probability Trust 2013. doi:10.1239/aap/1370870130
Paper 4 / Chapter 5: Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; Vos, Linda. Futures pricing in electricity markets based on stable CARMA spot models. Submitted.