A multi-factor polynomial framework for long-term electricity forwards with delivery period

Abstract

We propose a multi-factor polynomial framework to model and hedge long-term electricity forwards with delivery period. In this framework the computation of forwards, their long maturity asymptotics, and cross-maturity... [ view full abstract ]

Authors

  1. Xi Kleisinger-Yu (ETH Zurich)
  2. Martin Larsson (ETH Zurich)

Topic Areas

Energy Finance , Hedging , Polynomial Processes

Session

MO-P-BU » Affine & Polynomial Processes: Applications (14:30 - Monday, 16th July, Burke Theater)

Presentation Files

The presenter has not uploaded any presentation files.