Browsing Matematisk institutt by Author "Saltyte-Benth, Jurate"

Now showing items 1-6 of 6

  • ANALYTICAL APPROXIMATION FOR THE PRICE DYNAMICS OF SPARK SPREAD OPTIONS 
    Benth, Fred Espen; Saltyte-Benth, Jurate (Research report / Forskningsrapport, 2005)
    This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, ...
  • Linear discriminant analysis of multivariate spatial-temporal regressions 
    Saltyte-Benth, Jurate; Ducinskas, Kestutis (Research report / Forskningsrapport, 2003)
    We consider classification of a realization of the multivariate spatial-temporal Gaussian random field into one of two populations with different regression mean models and factorized covariance matrices. Unknown means and ...
  • THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS 
    Benth, Fred Espen; Saltyte-Benth, Jurate (Research report / Forskningsrapport, 2003)
    We model spot prices in energy markets with exponential non-Gaussian Ornstein-Uhlenbeck processes. We generalize the classical geometric Brownian motion and Schwartz' mean-reversion model by introducing Lévy processes as ...
  • A spatial-temporal model for temperature with seasonal variance 
    Benth, Fred Espen; Saltyte-Benth, Jurate; Jalinskas, Paulius (Research report / Forskningsrapport, 2005)
    We propose a spatial-temporal stochastic model for daily average temperature data. First we build a model for a single spatial location, independently on the spatial information. The model includes trend, seasonality and ...
  • Stochastic modelling of temperature variations with a view towards weather derivatives 
    Benth, Fred Espen; Saltyte-Benth, Jurate (Research report / Forskningsrapport, 2004)
    We model the daily average temperature variations with a mean-reverting Ornstein-Uhlenbeck process driven by generalized hyperbolic Lévy process and having seasonal mean and volatility. It is emirically demonstrated that ...
  • THE VOLATILITY OF TEMPERATURE AND PRICING OF WEATHER DERIVATIVES 
    Benth, Fred Espen; Saltyte-Benth, Jurate (Research report / Forskningsrapport, 2005)
    We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to almost 43 years of daily observations recorded in Stockholm, one of the ...