A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

Josef Teichmann

Mathematical Finance, 2005, vol. 15, issue 1, 191-201

Abstract: A method based on transformations of well‐known solutions of term structure equations is presented in order to incorporate Martin Barlow's spot price model for electricity into a model for future prices on electricity. The setting for the evolution of term structures is chosen in the spirit of Da Prato and Zabczyk.

Date: 2005
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