kyos , +31 (0)23 5510221, Marcus Nossman , nossman@kyos
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Transcript of kyos , +31 (0)23 5510221, Marcus Nossman , nossman@kyos
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Pricing Electricity Swaptions under a Stochastic Volatility Term-Structure Model with Jumps
Evidence from the Nord Pool Market
www.kyos.com, +31 (0)23 5510221, Marcus Nossman, [email protected]
R. Green, Lund UniversityK. Larsson, Lund UniversityM. Nossman, Kyos Energy Consulting
Conference on Energy Finance, Vienna, Austria, 2012-09-17
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Outline of the Presentation
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Introduction of the model
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Introduction of the model
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Introduction of the model
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Introduction of the model
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Introduction of the model
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Introduction of the model
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Introduction of the model
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Implied volatility data from the Nord Pool market
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Calibration procedure
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Calibration procedure
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In-sample and out-of-sampel results
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In-sample and out-of-sampel results
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In-sample and out-of-sampel results
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In-sample and out-of-sampel results
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In-sample and out-of-sampel results
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In-sample and out-of-sampel results
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In-sample and out-of-sampel results
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Conclusions
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References