Polynomial Processes for Power Prices

Damir Filipović, Martin Larsson and Tony Ware
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Damir Filipović: Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Martin Larsson: ETH Zurich
Tony Ware: University of Calgary

No 18-34, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state of the process conditional on the current state are given by polynomials (of degree

Keywords: energy prices; electricity markets; polynomial processes (search for similar items in EconPapers)
JEL-codes: C32 G12 G13 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2018-05
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1834

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