Browsing NTNU Open by Author "Nybakk, Ewa"
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Modeling and Calibration of Electricity Price Dynamics for Derivatives Valuation
Nybakk, Ewa (Master thesis, 2013)The objective of this thesis is to model electricity price dynamics and use the results to valuate derivatives. Electricity prices are known to display features such as spikes, seasonality and jumps, leading to large ...