Browsing Faculty of Science by Subject "affine transform"
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On the analysis of risk premiums in power markets using the Barndorff-Nielsen and Shephard model with leverage
(2017)This thesis is devoted to the study of risk premiums in power markets using the Ornstein- Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility with leverage. Forwards were priced using a class of ...