Fred Espen Benth (University of Oslo)
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 Read more [...]
