英文标题：
《Derivatives pricing in energy markets: an infinite dimensional approach》
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作者：
Fred Espen Benth and Paul Kr\\\"uhner
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最新提交年份：
2014
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英文摘要：
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to propose stochastic models. Forward prices can be represented as linear functions on a Hilbert space, and options can thus be viewed as derivatives on the whole curve. The value of these options are computed under various specifications, in addition to their deltas. In a second part, cross-commodity models are investigated, leading to a study of square integrable random variables with values in a \"two-dimensional\" Hilbert space. We analyse the covariance operator and representations of such variables, as well as presenting applications to pricing of spread and energy quanto options.
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中文摘要：
基于被建模为希尔伯特空间值过程的前向曲线，我们分析了能源市场中各种相关期权的定价。特别是，我们将文献中关于能源远期价格的经验证据与随机模型联系起来。远期价格可以表示为希尔伯特空间上的线性函数，因此期权可以被视为整个曲线上的导数。这些选项的价值是根据各种规格以及它们的增量计算的。在第二部分中，研究了跨商品模型，从而研究了“二维”希尔伯特空间中具有值的平方可积随机变量。我们分析了协方差算子和这类变量的表示，并给出了在价差和能量量子期权定价中的应用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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