Energy derivatives trading emerging markets pdf

Sensitivity analysis in the infinite dimensional Heston model. We consider the infinite dimensional Heston stochastic volatility model proposed in [5]. The price of a forward contract on a non-storable commodity is modelled by a generalized Ornstein-Uhlenbeck … Expand. View 1 excerpt, cites background.

An infinite-dimensional affine stochastic volatility model. We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein—Uhlenbeck-type process, whos instantaneous … Expand. Energy commodities and their futures naturally show cointegrated price movements. However, there is empirical evidence that the prices of futures with different maturities might have, e. Cointegration in continuous time for factor models.

Mathematics and Financial Economics. We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping … Expand.

Electricity derivatives: an application to the futures Italian market. Since the liberalization of electricity markets, electricity prices are more volatile and expansion in electricity derivatives trading occurs. Indeed, a well-known feature of electricity prices … Expand. The Heston stochastic volatility model in Hilbert space. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued … Expand.

View 8 excerpts. The forward dynamics in energy markets — infinite-dimensional modelling and simulation. 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 … Expand. View 4 excerpts, references methods. In energy markets, the use of quanto options has increased significantly in recent years.

The payoff from such options are typically written on an underlying energy index and a measure of … Expand. View 7 excerpts, references methods and background.

Forward curve dynamics in the Nordic electricity market. The forward curve dynamics in the Nordic electricity market is examined. Six years of price data on futures and forward contracts traded in the Nordic electricity market are analysed. For the forward … Expand. Optimal portfolios in commodity futures markets. Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many … Expand.

This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of … Expand. View 7 excerpts. This chapter considers the modeling of electricity forward curve dynamics with parameterized volatility and correlation structures.

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