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dc.date.accessioned2015-01-26T15:07:30Z
dc.date.available2015-01-26T15:07:30Z
dc.date.created2014-09-09T15:52:36Z
dc.date.issued2014
dc.identifier.citationBarndorff-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.urihttp://hdl.handle.net/10852/41915
dc.description.abstractIn 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 2014en_US
dc.languageEN
dc.language.isoenen_US
dc.publisherApplied Probability Trust
dc.titleModelling electricity futures prices by ambit fieldsen_US
dc.typeJournal articleen_US
dc.creator.authorBarndorff-Nielsen, Ole E.
dc.creator.authorBenth, Fred Espen
dc.creator.authorVeraart, Almut E. D.
cristin.unitcode185,15,13,35
cristin.unitnameStokastisk analyse, finans, forsikring og risiko
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.qualitycode2
dc.identifier.cristin1153035
dc.identifier.bibliographiccitationinfo: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.jtitleAdvances in Applied Probability
dc.identifier.volume46
dc.identifier.issue3
dc.identifier.startpage719
dc.identifier.endpage745
dc.identifier.urnURN:NBN:no-46322
dc.type.documentTidsskriftartikkelen_US
dc.source.issn0001-8678
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/41915/1/paper18.pdf
dc.type.versionSubmittedVersion


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