Modelling Forwards and Swaps Using the Heath-Jarrow-Morton Approach

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway
Steen Koekebakker: University of Agder, Norway

Chapter 6 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 155-180 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The HJM modelling idea for forward contractsHJM modelling of forwardsHJM modelling of swapsSwap models based on forwardsThe market modelsModelling with jump processes

Keywords: Electricity Market; Gas Market; Weather Derivatives; Temperature; Energy Market; Mean Reversion; Ornstein–Uhlenbeck Processes; Jump Processes; Levy Processes; Futures Contracts; Forward Contracts; Options (search for similar items in EconPapers)
Date: 2008
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