Stochastic modelling and pricing of energy and weather derivatives
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Paper I / Chapter 2: BENTH, Fred Espen; SOLANILLA BLANCO, Sara Ana. Forward prices in markets driven by continuous-time autoregressive processes. In: 2012 Recent Advances in Financial Engineering: Proceedings of the International Workshop on Finance 2012. 2014. p. 1-24. An author version is included in the thesis. The published version is available at: https://doi.org/10.1142/9789814571647_0001 |
Paper II / Chapter 3: BENTH, Fred Espen; BLANCO, Sara Ana Solanilla. Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes. International Journal of Theoretical and Applied Finance, 2015, 18.02: 1550010. An author version is included in the thesis. The published version is available at: https://doi.org/10.1142/S0219024915500107 |
Paper III / Chapter 3: Approximation of the HDD and CDD temperature futures prices dynamics. Published as: BENTH, Fred Espen; BLANCO, Sara Ana Solanilla. Approximation of the price dynamics of heating degree day and cooling degree day temperature futures. JOURNAL OF ENERGY MARKETS, 2015, 8.4: 69-92. An author version is included in the thesis. The published version is available at: https://doi.org/10.21314/JEM.2015.133 |
Paper IV / Chapter 4: BLANCO, Sara Ana Solanilla. Local sensitivity analysis of CDD and HDD derivatives prices. Unpublished manuscript. |