Fred Espen Benth (University of Oslo)

Chargement Évènements

« Tous les Évènements

  • Cet évènement est passé

Fred Espen Benth (University of Oslo)

11 juin 2021 @ 14 h 00 min - 15 h 00 min

Speaker: Fred Espen Benth (University of Oslo)

Title: High-dimensional stochastic modelling of power markets

Abstract: We propose Heath-Jarrow-Morton stochastic models for power forward markets with fractional stochastic volatility. There is a focus on curve-based models. In the talk, we motivate such models from a practical viewpoint, and propose a modeling framework which allows for flexibility in describing the forward dynamics marginally for each maturity as well as the dependency structure across maturities. Furthermore, we propose a rough volatility model and discuss its scaling properties.

Download slides

 

Détails

Date :
11 juin 2021
Heure :
14 h 00 min - 15 h 00 min