Calibration of the multifactor HJM model for energy market
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References listed on IDEAS
- Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron, 2005.
"Modeling catastrophe claims with left-truncated severity distributions (extended version),"
HSC Research Reports
HSC/05/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal, 2005. "Modelling catastrophe claims with left-truncated severity distributions (extended version)," MPRA Paper 10423, University Library of Munich, Germany.
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KeywordsElectricity market; HJM model; calibration; option pricing;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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