Calibration of the multi-factor HJM model for energy market

被引：0
|
作者：
Broszkiewicz-Suwaj, Ewa
Weron, Aleksander
机构：
[1] Wroclaw Tech Univ, Inst Math & Comp Sci, Hugo Steinhaus Ctr, PL-50370 Wroclaw, Poland
[2] IASE, Inst Power Syst Automat, PL-51618 Wroclaw, Poland
来源：
ACTA PHYSICA POLONICA B | 2006年 / 37卷 / 05期
关键词：
D O I：
暂无
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The purpose of this paper is to show that using the toolkit of interest rate theory, already well known in financial engineering as the HJM model [D. Heath, R. Jarrow, A. Morton, Econometrica 60, 77 (1992)], it is possible to derive explicite option pricing formula and calibrate the theoretical model to the empirical electricity market. The analysis is illustrated by numerical cases from the European Energy Exchange (EEX) in Leipzig. The multi-factor versus one-factor HJM models are compared.
引用
收藏
页码：1455 / 1466
页数：12
相关论文
共 50 条
  • [1] A multi-factor Markovian HJM model for pricing American interest rate derivatives
    Kramin M.V.
    Nandi S.
    Shulman A.L.
    [J]. Review of Quantitative Finance and Accounting, 2008, 31 (4) : 359 - 378
  • [2] A multi-factor HJM and PCA approach to risk management of VIX futures
    Belanger, Philippe
    Picard, Marc-Andre
    [J]. JOURNAL OF RISK FINANCE, 2018, 19 (05) : 524 - 547
  • [3] CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK
    Hanton, Pierre
    Henrard, Marc
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2012, 15 (07)
  • [4] A multi-factor model of heterogeneous traders in a dynamic stock market
    Pyo, Dong-Jin
    [J]. COGENT ECONOMICS & FINANCE, 2018, 5 (01):
  • [5] A Multi-Factor Cross-Currency LIBOR Market Model
    Benner, Wolfgang
    Zyapkov, Lyudmil
    Jortzik, Stephan
    [J]. JOURNAL OF DERIVATIVES, 2009, 16 (04): : 53 - 71
  • [6] The multi-factor energy input-output model
    Guevara, Zeus
    Domingos, Tiago
    [J]. ENERGY ECONOMICS, 2017, 61 : 261 - 269
  • [7] On the valuation of interest rate products under multi-factor HJM term-structures
    Marcozzi, Michael D.
    [J]. APPLIED NUMERICAL MATHEMATICS, 2009, 59 (12) : 2873 - 2890
  • [8] Empirical study of multi-factor and three factor pricing model in Chinese stock market
    Su, Cheng-Jian
    [J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2006, 26 (08): : 17 - 26
  • [9] Taiwan multi-factor model construction: equity market neutral strategies application
    Shyu, So-de
    Jeng, Yi
    Ton, W.
    Lee, Kon-jung
    Chuang, M.
    [J]. MANAGERIAL FINANCE, 2006, 32 (11) : 915 - +
  • [10] A multi-factor model for caspase degradome prediction
    Lawrence JK Wee
    Joo Chuan Tong
    Tin Wee Tan
    Shoba Ranganathan
    [J]. BMC Genomics, 10
12345