dc.date.accessioned | 2015-01-26T15:07:30Z | |
dc.date.available | 2015-01-26T15:07:30Z | |
dc.date.created | 2014-09-09T15:52:36Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Barndorff-Nielsen, Ole E. Benth, Fred Espen Veraart, Almut E.D. . Modelling electricity futures prices by ambit fields. Advances in Applied Probability. 2014, 46(3), 719-745 | |
dc.identifier.uri | http://hdl.handle.net/10852/41915 | |
dc.description.abstract | In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly analytically tractable. We discuss martingale conditions, option pricing, and change of measure within the new model class. Also, we study the corresponding model for the spot price, which is implied by the new futures model, and show that, under certain regularity conditions, the implied spot price can be represented in law as a volatility modulated Volterra process.
© Applied Probability Trust 2014 | en_US |
dc.language | EN | |
dc.language.iso | en | en_US |
dc.publisher | Applied Probability Trust | |
dc.title | Modelling electricity futures prices by ambit fields | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Barndorff-Nielsen, Ole E. | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Veraart, Almut E. D. | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1153035 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Advances in Applied Probability&rft.volume=46&rft.spage=719&rft.date=2014 | |
dc.identifier.jtitle | Advances in Applied Probability | |
dc.identifier.volume | 46 | |
dc.identifier.issue | 3 | |
dc.identifier.startpage | 719 | |
dc.identifier.endpage | 745 | |
dc.identifier.urn | URN:NBN:no-46322 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.source.issn | 0001-8678 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41915/1/paper18.pdf | |
dc.type.version | SubmittedVersion | |