Stochastic Modelling And Pricing Of Electricity And Related Markets Contracts With Local Stochastic Delayed And Jumped Volatilities
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Stochastic Modelling and Pricing of Electricity and Related Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities
| Author | : Anatoliy V. Swishchuk |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
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In this paper we study stochastic models for electricity, gas and temperature markets' contracts with delay and jumps. The basic products in these markets are spot, futures and forward contracts, swaps and options written on these. We concentrate our study on pricing of these kind of contracts. We also study optimal control of stochastic differential delay equations (SDDEs) with jumps and its applications in energy markets and economics.
