Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
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Review of 3 papers: F. Benth etal (2005-2007)
Submitted by jlongwor on Fri, 02/05/2010 - 1:12pm.
Feb 11 2010 - 12:00pm
Feb 11 2010 - 12:50pm
Speaker:
Ke Zhao, University of Calgary
Location:
MS 325TOPIC: Three Papers' Review by F. Benth et al. (2005-2007):
1) A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
2) Pricing of Exotic Energy Derivative Based on Arithmetic Spot Models
3) Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium
ABSTRACTS: See: http://finance.math.ucalgary.ca/lunch.html