Geodesic
Modelling the Polish energy market
Mathematica Applicanda, Tome 39 (2011) no. 2, pp. 105-114.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

The paper deals with mathematical modelling of energy market. First, themodel of price dynamics has been chosen. This model has been calibrated to data fromthe Polish Power Exchange in Warsaw. The calibrated model has been used to simulateenergy prices which was used to price forward contracts and vanilla put options for energysupply. All simulations has been made in R package.Keywords: financial mathematics, energy market, forward contract pricing, option pri-cing.
DOI : 10.14708/ma.v39i2.179
Mots-clés : The paper deals with mathematical modelling of energy market. First, themodel of price dynamics has been chosen. This model has been calibrated to data fromthe Polish Power Exchange in Warsaw. The calibrated model has been used to simulateenergy prices which was used to price forward contracts and vanilla put options for energysupply. All simulations has been made in R package. financial mathematics, energy market, forward contract pricing, option pri-cing. 
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Krzysztof Opalski; Katarzyna Kacprzak; Kamil Maciejczyk; Michał Pawłowski. Modelling the Polish energy market. Mathematica Applicanda, Tome 39 (2011) no. 2, pp.  105-114. doi : 10.14708/ma.v39i2.179. http://geodesic.mathdoc.fr/articles/10.14708/ma.v39i2.179/

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