Stochastic modeling of electricity and related markets
Auteur :
Benth, Fred Espen / Koekebakker, Steen / Saltyte-benth, Jurate
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789812812308
Date de publication :
15 avr. 2008
Langue :
Anglais
Pays d'origine :
Singapour
Offers a treatment on the stochastic modeling of energy markets. This book describes Ornstein-Uhlenbeck processes as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes.