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A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
Author(s) -
Teichmann Josef
Publication year - 2005
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.0960-1627.2005.00216.x
Subject(s) - term (time) , electricity , order (exchange) , economics , mathematical economics , econometrics , physics , finance , quantum mechanics
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.