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Quantitative Finance Volume 9, 2009 - Issue 3
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Research Papers

A two-factor model for the electricity forward market

Rüdiger Kiesel Department of Financial Mathematics, Ulm University, Helmholtzstrasse 18, Ulm, 89069, Germany
,
Gero Schindlmayr EnBW Trading GmbH, Karlsruhe, Germany
&
Reik H. Börger Department of Financial Mathematics, Ulm University, Helmholtzstrasse 18, Ulm, 89069, GermanyCorrespondence[email protected]
Pages 279-287 | Received 21 Jun 2006, Accepted 03 Apr 2008, Published online: 15 Apr 2009

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W.J. Hinderks, R. Korn & A. Wagner. (2020) A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices. Quantitative Finance 20:3, pages 347-357.
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Viviana Fanelli & Maren Diane Schmeck. (2019) On the seasonality in the implied volatility of electricity options. Quantitative Finance 19:8, pages 1321-1337.
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Enrico Edoli, Davide Tasinato & Tiziano Vargiolu. (2013) Calibration of a multifactor model for the forward markets of several commodities. Optimization 62:11, pages 1553-1574.
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