英文标题：
《Polynomial processes for power prices》
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作者：
Damir Filipovic and Martin Larsson and Tony Ware
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最新提交年份：
2018
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英文摘要：
Polynomial processes have the property that expectations of polynomial functions (of degree $n$, say) of the future state of the process conditional on the current state are given by polynomials (of degree $\\leq n$) of the current state. Here we explore the application of polynomial processes in the context of structural models for energy prices. We focus on the example of Alberta power prices, derive one- and two-factor models for spot prices. We examine their performance in numerical experiments, and demonstrate that the richness of the dynamics they are able to generate makes them well suited for modelling even extreme examples of energy price behaviour.
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中文摘要：
多项式过程具有这样的性质，即在当前状态的条件下，过程未来状态的多项式函数（例如，阶数n$）的期望值由当前状态的多项式（阶数n$）给出。在这里，我们探讨了多项式过程在能源价格结构模型中的应用。我们以阿尔伯塔省的电价为例，推导了现货价格的单因素和双因素模型。我们在数值实验中检验了它们的性能，并证明了它们所能产生的丰富的动力学特性，使它们非常适合对能源价格行为的极端例子进行建模。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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