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Now showing items 1-12 of 12
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
Operating in energy and commodity markets require a management of risk using derivative products such as forward and futures, as well as options on these. Many of the popular stochastic models for spot dynamics and weather ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
We investigate the probabilistic and analytic properties of Volterra processes constructed as pathwise integrals of deterministic kernels with respect to the Hölder continuous trajectories of Hilbert-valued Gaussian ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
In the setting of one-dimensional polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2021)
We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
Metatimes constitute an extension of time-change to general measurable spaces, defined as mappings between two σ-algebras. Equipping the image σ-algebra of a metatime with a measure and defining the composition measure ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath–Jarrow–Morton (HJM) approach. For this purpose, we introduce a new class of state-dependent ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
In this paper, we introduce a dynamical model for the time evolution of probability density functions incorporating uncertainty in the parameters. The uncertainty follows stochastic processes, thereby defining a new class ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with memory as, e.g., a Volterra equation ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2020)
Successful trading in electricity markets relies on the market actor's ability to accurately forecast the electricity price. The fundamental electricity price models use market information, provided by various price drivers, ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2020)
We observe a multilinearity preserving property of conditional expectation for infinite-dimensional independent increment processes defined on some abstract Banach space B. It is similar in nature to the polynomial preserving ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2020)
The liberalization of energy markets worldwide during recent decades has introduced severe implications for the price formation in these markets. Especially within the European day-ahead electricity markets, increased ...