dc.date.accessioned | 2021-02-10T20:51:01Z | |
dc.date.available | 2021-02-10T20:51:01Z | |
dc.date.created | 2021-01-26T07:20:58Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Benth, Fred Espen . Pricing of Commodity and Energy Derivatives for Polynomial Processes. Mathematics. 2021 | |
dc.identifier.uri | http://hdl.handle.net/10852/83117 | |
dc.description.abstract | 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 variables developed from empirical studies in commodity and energy markets belong to the class of polynomial jump diffusion processes. We derive a tailor-made framework for efficient polynomial approximation of the main derivatives encountered in commodity and energy markets, encompassing a wide range of arithmetic and geometric models. Our analysis accounts for seasonality effects, delivery periods of forwards and exotic temperature forwards where the underlying “spot” is a nonlinear function of the temperature. We also include in our derivations risk management products such as spread, Asian and quanto options. | |
dc.language | EN | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | Pricing of Commodity and Energy Derivatives for Polynomial Processes | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Risiko og Stokastikk | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1879209 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Mathematics&rft.volume=&rft.spage=&rft.date=2021 | |
dc.identifier.jtitle | Mathematics | |
dc.identifier.volume | 9 | |
dc.identifier.issue | 2 | |
dc.identifier.doi | https://doi.org/10.3390/math9020124 | |
dc.identifier.urn | URN:NBN:no-85879 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 2227-7390 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/83117/4/mathematics-09-00124-v2.pdf | |
dc.type.version | PublishedVersion | |
cristin.articleid | 124 | |