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Raport Badawczy = Research Report ; RB/1/2015
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
25 pages ; 21 cm ; Bibliography p. 23-25
The paper presents a model of the Polish Power Exchange (POLPX) energy spot prices. The proposed dynamics of the spot prices is driven by a mean-reverting jump-diffusion stochastic process with mixed-exponentially distributed jumps.
Raport Badawczy = Research Report
Creative Commons Attribution BY 4.0 license
Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -
Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 19, 2021
Jan 27, 2020
35
https://rcin.org.pl/publication/137231
Edition name | Date |
---|---|
RB-2015-01 : Pawłowski Michał, Nowak Piotr Władysław : Pricing Forward Contracts on the Polish Power Exchange | Oct 19, 2021 |