Browsing Matematisk institutt by Author "Kallsen, Jan"
Now showing items 1-1 of 1
-
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo (Research report / Forskningsrapport, 2005)We propose an mean-reverting model for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes ...