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Applied Mathematical Finance Volume 15, 2008 - Issue 1
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Original Articles

Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives

N. K. Nomikos Faculty of Finance, Cass Business School, London, UKCorrespondence[email protected]
&
O. Soldatos Faculty of Finance, Cass Business School, London, UK
Pages 41-71 | Received 12 Apr 2006, Accepted 17 Apr 2007, Published online: 18 Dec 2007

Citations (20)

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Read on this site (3)

Piergiacomo Sabino & Nicola Cufaro Petroni. (2021) Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes. Applied Mathematical Finance 28:1, pages 1-22.
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Lingfei Li, Rafael Mendoza-Arriaga, Zhiyu Mo & Daniel Mitchell. (2016) Modelling electricity prices: a time change approach. Quantitative Finance 16:7, pages 1089-1109.
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Kostas Andriosopoulos & Nikos Nomikos. (2015) Risk management in the energy markets and Value-at-Risk modelling: a hybrid approach. The European Journal of Finance 21:7, pages 548-574.
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Articles from other publishers (17)

Farshid Mehrdoust, Idin Noorani & Juho Kanniainen. (2023) Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. Mathematics and Computers in Simulation.
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Thomas Deschatre, Olivier Féron & Pierre Gruet. (2021) A survey of electricity spot and futures price models for risk management applications. Energy Economics 102, pages 105504.
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Lingjie Shao & Kaili Xiang. (2019) Valuation of Swing Options under a Regime-Switching Mean-Reverting Model. Mathematical Problems in Engineering 2019, pages 1-14.
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A.O. Moscardini, K. Lawler, T. Vlasova & E. Merza. (2019) The Future of Economic Modelling. Bulletin of Taras Shevchenko National University of Kyiv. Economics:205, pages 20-26.
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Ioannis Kyriakou, Panos K. Pouliasis, Nikos C. Papapostolou & Kostas Andriosopoulos. (2017) Freight derivatives pricing for decoupled mean-reverting diffusion and jumps. Transportation Research Part E: Logistics and Transportation Review 108, pages 80-96.
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Yunhe Hou, Chen-Ching Liu & Harold Salazar. 2017. Advances in Electric Power and Energy Systems. Advances in Electric Power and Energy Systems 89 152 .
George Daskalakis, Lazaros Symeonidis & Raphael N. Markellos. (2015) Electricity futures prices in an emissions constrained economy: Evidence from European power markets. The Energy Journal 36:3.
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JANIS BACK & MARCEL PROKOPCZUK. (2013) COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW. International Journal of Theoretical and Applied Finance 16:06, pages 1350032.
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Colin Powell, Yuri Lawryshyn & Timothy Bender. (2012) Using stochastic models to determine financial indicators and technical objectives for organic solar cells. Solar Energy Materials and Solar Cells 107, pages 236-247.
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Nikos Nomikos & Kostas Andriosopoulos. (2012) Modelling energy spot prices: Empirical evidence from NYMEX. Energy Economics 34:4, pages 1153-1169.
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Kostas Andriosopoulos & Nikos Nomikos. (2012) Risk management in the energy markets and Value-at-Risk modelling: A Hybrid approach. Risk management in the energy markets and Value-at-Risk modelling: A Hybrid approach.
Nikos K. Nomikos & Orestes A. Soldatos. (2010) Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool. Energy Policy 38:10, pages 5671-5683.
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Yunhe Hou & Yang He. (2010) Modeling of electricity prices. Modeling of electricity prices.
Nikos K. Nomikos & Orestes A. Soldatos. (2010) Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market. Energy Economics 32:2, pages 302-312.
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Jan Marckhoff & Matthias Muck. 2010. Management von Rohstoffrisiken. Management von Rohstoffrisiken 297 325 .
Lingfei Li, Rafael Mendoza-Arriaga, Zhiyu Mo & Daniel Mitchell. (2015) Modelling Electricity Prices: A Time Change Approach. SSRN Electronic Journal.
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Janis Back & Marcel Prokopczuk. (2012) Commodity Price Dynamics and Derivatives Valuation: A Review. SSRN Electronic Journal.
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