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


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 ]


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

Topic Areas

Energy Finance , Hedging , Polynomial Processes


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

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