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Volatility Models for Electricity Prices with Intra-Daily Information
SSRN Electronic Journal
◽
10.2139/ssrn.2188148
◽
2012
◽
Cited By ~ 2
Author(s):
Angelica Gianfreda
◽
Luigi Grossi
Keyword(s):
Electricity Prices
◽
Volatility Models
Download Full-text
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References
Intrinsic Liquidity in Conditional Volatility Models
Annals of Economics and Statistics
◽
10.15609/annaeconstat2009.123-124.0225
◽
2016
◽
pp. 225
Author(s):
Serge Darolles
◽
Gaëlle Le Fol
◽
Christian Francq
◽
Jean-Michel Zakoïan
Keyword(s):
Conditional Volatility
◽
Volatility Models
Download Full-text
Time transformations, intraday data, and volatility models
The Journal of Computational Finance
◽
10.21314/jcf.2001.071
◽
2000
◽
Vol 4
(2)
◽
pp. 31-62
◽
Cited By ~ 43
Author(s):
Pierre Giot
Keyword(s):
Volatility Models
◽
Intraday Data
◽
Time Transformations
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The optimal investment problem in stochastic and local volatility models
The Journal of Investment Strategies
◽
10.21314/jois.2018.104
◽
2018
◽
Author(s):
Vladimir V. Piterbarg
Keyword(s):
Optimal Investment
◽
Local Volatility
◽
Investment Problem
◽
Volatility Models
◽
Optimal Investment Problem
Download Full-text
An adaptive Filon quadrature for stochastic volatility models
The Journal of Computational Finance
◽
10.21314/jcf.2018.356
◽
2018
◽
Vol 22
(3)
◽
pp. 65-88
◽
Cited By ~ 1
Author(s):
Fabien Le Floc'h
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models
The Journal of Risk
◽
10.21314/jor.2014.297
◽
2014
◽
Vol 17
(2)
◽
pp. 3-19
◽
Cited By ~ 6
Author(s):
Matthew Lorig
◽
Stefano Pagliarani
◽
Andrea Pascucci
Keyword(s):
Stochastic Volatility
◽
Taylor Series
◽
Implied Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
Treasury Futures Trading and Differences of Opinion: A Note on Volume-Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.1092643
◽
2008
◽
Author(s):
Wenchao Liao
Keyword(s):
Futures Trading
◽
Volatility Models
◽
Differences Of Opinion
◽
Treasury Futures
Download Full-text
A Regime Switching Long Memory Model for Electricity Prices
SSRN Electronic Journal
◽
10.2139/ssrn.1147547
◽
2006
◽
Author(s):
Niels Haldrup
◽
Morten Ørregaard Nielsen
Keyword(s):
Long Memory
◽
Regime Switching
◽
Memory Model
◽
Electricity Prices
Download Full-text
Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.1528827
◽
2009
◽
Cited By ~ 1
Author(s):
Natalia Beliaeva
◽
Sanjay K. Nawalkha
Keyword(s):
Stochastic Volatility
◽
American Options
◽
Stochastic Volatility Models
◽
Volatility Models
◽
Low Dimensional
Download Full-text
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.1687998
◽
2010
◽
Cited By ~ 2
Author(s):
Viktor Todorov
◽
George E. Tauchen
◽
Iaryna Grynkiv
Keyword(s):
Laplace Transforms
◽
Volatility Models
Download Full-text
Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions
SSRN Electronic Journal
◽
10.2139/ssrn.1800415
◽
2011
◽
Cited By ~ 1
Author(s):
Stephen Michael Taylor
Keyword(s):
Heat Kernel
◽
Local Volatility
◽
Volatility Models
Download Full-text
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