A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

Author: Josef Teichmann

Source: Mathematical Finance, Volume 15, Number 1, January 2005 , pp. 191-201(11)

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Abstract:

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.

Keywords: spot-price model; affine model

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.0960-1627.2005.00216.x

Affiliations: 1: Institute of Mathematical Methods in Economics, Technical University of Vienna

Publication date: 2005-01-01