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(Research report / Forskningsrapport, 2013)
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
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 ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)
In recent years, renewable energy has gained importance in producing power in many markets. The aim of this article is to model photovoltaic (PV) production for three transmission operators in Germany. PV power can only ...
(Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2014)
In this paper we derive power futures prices from a two-factor spot model being a generalization of the classical Schwartz–Smith commodity dynamics. We include non-Gaussian effects by introducing Lévy processes as the ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein–Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)
(Research report / Forskningsrapport, 2011)
Merton's classical portfolio optimisation problem for an investor, who can trade in a risk-free bond and a stock, can be extended to the case where the driving noise of the log-returns is a pure jump process instead of a ...