Modelling energy spot prices by Lévy semistationary processes

Publikation: Working paperForskning

Dokumenter

  • Rp10 18

    Forlagets udgivne version, 273 KB, PDF-dokument

  • Institut for Økonomi
This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary
processes. Lévy semistationary processes are special cases of the general class of
ambit processes. We provide a detailed analysis of the probabilistic properties of such models
and we show how they are able to capture many of the stylised facts observed in energy markets.
Furthermore, we derive forward prices based on our spot price model. As it turns out, many of
the classical spot models can be embedded into our novel modelling framework.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider28
StatusUdgivet - 2010

Se relationer på Aarhus Universitet Citationsformater

Download-statistik

Ingen data tilgængelig

ID: 20040104