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Polynomial Processes for Power Prices

Author

Listed:
  • Damir Filipović

    (Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute)

  • Martin Larsson

    (ETH Zurich)

  • Tony Ware

    (University of Calgary)

Abstract

Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state of the process conditional on the current state are given by polynomials (of degree

Suggested Citation

  • Damir Filipović & Martin Larsson & Tony Ware, 2018. "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series 18-34, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1834
    as

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    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3170978
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    Citations

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    Cited by:

    1. Xi Kleisinger-Yu & Vlatka Komaric & Martin Larsson & Markus Regez, 2019. "A multi-factor polynomial framework for long-term electricity forwards with delivery period," Papers 1908.08954, arXiv.org, revised Jun 2020.
    2. Boonstra, Boris C. & Oosterlee, Cornelis W., 2021. "Valuation of electricity storage contracts using the COS method," Applied Mathematics and Computation, Elsevier, vol. 410(C).
    3. Filipović, Damir & Larsson, Martin & Pulido, Sergio, 2020. "Markov cubature rules for polynomial processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1947-1971.
    4. Fred Espen Benth & Silvia Lavagnini, 2019. "Correlators of Polynomial Processes," Papers 1906.11320, arXiv.org, revised Apr 2021.

    More about this item

    Keywords

    energy prices; electricity markets; polynomial processes;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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