Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Book Review: "Stochastic Modeling of Electricity and Related Markets" . Ch 4
Submitted by jlongwor on Wed, 11/04/2009 - 3:09pm.
Nov 18 2009 - 12:00pm
Nov 18 2009 - 12:50pm
Speaker:
Anatoliy Swishchuk
Location:
MS 569Book Review: 'Stochastic Modeling of Electricity and Related Markets', by F. Benth, J, Benth and S. Koekebakker, 2008, World, Sci. Publ.; Chapter 4: Pricing of Forwards and Swaps Based on the Spot Price; Sec. 4.3-4.4: Pricing Forwards and Swaps for Arithmetic and Geometric Models
In this talk, we derive forward and swap prices from the arithmetic and geometric spot models investigated in the previous talk. The approach will be based on the calculation of the predicted spot price under risk-neutral probability. This probability will be constructed using the Esscher transform.