Stochastic modeling of financial electricity contracts, Energy Economics, vol.30, issue.3, pp.1116-1157, 2008. ,
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework, Mathematics and Financial Economics, vol.13, issue.4, pp.543-577, 2019. ,
The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques, Computational Approaches to Economic Problems, pp.113-126 ,
, , 1997.
A maximum likelihood approach to estimation of a class of the Heath-Jarrow-Morton model, School of Finance and Economics, 2002. ,
Valuation and risk management in the Norwegian electricity market, Endre Bjørndal, Mette Bjørndal, Panos M. Pardalos, and Mikael Rönnqvist, pp.167-185, 2000. ,
Energy derivatives: Pricing and risk management, Lacima Group, 2000. ,
A continuous time model to price commodity-based swing options, Review of Derivatives Research, vol.8, pp.27-47, 2005. ,
Risk premia in electricity forward prices, Studies in Nonlinear Dynamics & Econometrics, vol.10, issue.3, 2006. ,
Calibration of a multifactor model for the forward markets of several commodities, Optimization, vol.62, issue.11, pp.1553-1574, 2013. ,
Fast calibration of two-factor models for energy option pricing, 2018. ,
Efficient volatility estimation in a two-factor model, Scandinavian Journal of Statistics, 2019. ,
Calibration of electricity price models, vol.74, pp.183-210, 2015. ,
Stochastic convenience yield and the pricing of oil contingent claims, The Journal of Finance, vol.45, issue.3, pp.959-976, 1990. ,
Some problems of statistics and optimal control for stochastic processes in the field of electricity markets prices modeling, 2015. ,
URL : https://hal.archives-ouvertes.fr/tel-01238618
Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, Econometrica, vol.60, issue.1, pp.77-105, 1992. ,
Gaussian Multi-factor Interest Rate Models: Theory, Estimation and Implications for Option Pricing, 1995. ,
Nonparametric estimation of a multifactor Heath-Jarrow-Morton model: An integrated approach, Journal of Financial Econometrics, vol.2, issue.2, pp.251-289, 2004. ,
A joint state-space model for electricity spot and futures prices, 2000. ,
A pricing method for options based on average asset values, Journal of Banking & Finance, vol.14, issue.1, pp.113-129, 1990. ,
A two-factor model for the electricity forward market, Quantitative Finance, vol.9, issue.3, pp.279-287, 2009. ,
Forward curve dynamics in the Nordic electricity market, Managerial Finance, vol.31, issue.6, pp.73-94, 2005. ,
Mean-reverting no-arbitrage additive models for forward curves in energy markets, Energy Economics, vol.79, pp.157-170, 2019. ,
Electricity prices and power derivatives: Evidence from the nordic power exchange, Review of derivatives research, vol.5, issue.1, pp.5-50, 2002. ,
Energy futures prices: term structure models with Kalman filter estimation, Applied mathematical finance, vol.9, issue.1, pp.21-43, 2002. ,
Short-term variations and long-term dynamics in commodity prices, Management Science, vol.46, issue.7, pp.893-911, 2000. ,
The stochastic behavior of commodity prices: Implications for valuation and hedging. The journal of finance, vol.52, pp.923-973, 1997. ,