scholarly journals Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling

2013 ◽  
pp. 109-167 ◽  
Author(s):  
Fred Espen Benth
Keyword(s):  
Stochastic Volatility ◽  
Energy Markets

scholarly journals Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets

2013 ◽  
Vol 45 (02) ◽  
pp. 545-571 ◽  
Author(s):  
F. E. Benth ◽  
L. Vos
Keyword(s):  
Stochastic Volatility ◽  
Simulation Method ◽  
Energy Markets ◽  
Stochastic Volatility Model ◽  
Spot Price ◽  
Leverage Effect ◽  
Order Structure ◽  
Spot Prices ◽  
Volatility Model ◽  
Multivariate Stochastic Volatility

Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.

scholarly journals Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

2013 ◽  
Vol 45 (2) ◽  
pp. 572-594 ◽  
Author(s):  
F. E. Benth ◽  
L. Vos
Keyword(s):  
Stochastic Volatility ◽  
Energy Markets ◽  
Stochastic Volatility Model ◽  
Spot Price ◽  
Price Model ◽  
Forward Price ◽  
Volatility Model ◽  
Characteristic Features ◽  
Hump Shape ◽  
Non Gaussian

In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.

scholarly journals Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets

2013 ◽  
Vol 45 (2) ◽  
pp. 545-571 ◽  
Author(s):  
F. E. Benth ◽  
L. Vos
Keyword(s):  
Stochastic Volatility ◽  
Simulation Method ◽  
Energy Markets ◽  
Stochastic Volatility Model ◽  
Spot Price ◽  
Leverage Effect ◽  
Order Structure ◽  
Spot Prices ◽  
Volatility Model ◽  
Multivariate Stochastic Volatility

Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.

scholarly journals Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

2013 ◽  
Vol 45 (02) ◽  
pp. 572-594 ◽  
Author(s):  
F. E. Benth ◽  
L. Vos
Keyword(s):  
Stochastic Volatility ◽  
Energy Markets ◽  
Stochastic Volatility Model ◽  
Spot Price ◽  
Price Model ◽  
Forward Price ◽  
Volatility Model ◽  
Characteristic Features ◽  
Hump Shape ◽  
Non Gaussian

In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.

Chinese Energy Markets

2007 ◽  
Author(s):  
Armelle Guizot
Keyword(s):  
Energy Markets

FUZZY UNCERTAINTY IN THE HESTON STOCHASTIC VOLATILITY MODEL

2011 ◽  
Vol 16 (02) ◽  
Author(s):  
G. Figà-Talamanca ◽  
M. L. Guerra ◽  
L. Stefanini
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Fuzzy Uncertainty ◽  
Volatility Model

Two sides of the same coin: risk measures in the energy markets

2016 ◽  
Vol 9 (2) ◽  
pp. 51-68 ◽  
Author(s):  
Saša Žiković ◽  
Ivana Tomas Žiković
Keyword(s):  
Risk Measures ◽  
Energy Markets ◽  
Two Sides

Pricing and hedging quanto options in energy markets

2015 ◽  
Vol 8 (1) ◽  
pp. 1-35 ◽  
Author(s):  
Fred Espen Benth ◽  
Nina Lange ◽  
Tor Åge Myklebust
Keyword(s):  
Energy Markets
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