Author of the publication

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models.

, and . Finance Stochastics, 22 (2): 327-366 (2018)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model, and . Stochastic Analysis and Applications, 23 (4): 687--704 (2005)SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE, and . Stochastic Analysis and Applications, 20 (6): 1191--1223 (2002)Enabling agency: trade-offs between regional and integrated energy systems design flexibility., , , and . CoRR, (2023)The volatility of temperature and pricing of weather derivatives, and . Quantitative Finance, 7 (5): 553--561 (2007)On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Applied Mathematical Finance, 10 (4): 303--324 (2003)A Non-Gaussian Ornstein--Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing, , and . Applied Mathematical Finance, 14 (2): 153--169 (2007)A note on arbitrage-free pricing of forward contracts in energy markets, , , and . Applied Mathematical Finance, 10 (4): 325--336 (2003)Spatio-temporal smoothing and dynamics of different electricity flexibility options., , and . CoRR, (2023)Intersecting near-optimal spaces: European power systems with more resilience to weather variability., , , and . CoRR, (2022)ON WEIGHTED <i>L</i><sup>2</sup>(&b.Omega;)-SPACES, THEIR DUALS AND ITÔ INTEGRATION. Stochastic Analysis and Applications, 19 (3): 329--341 (2001)