-
Green Finance, 2019, 1(1): 82-93. doi: 10.3934/GF.2019.1.82
Research article Special Issues
-
Export file:
Format
- RIS(for EndNote,Reference Manager,ProCite)
- BibTex
- Text
Content
- Citation Only
- Citation and Abstract
A structured financial product applied to renewable energies
1 Instituto Superior Técnico, Universidade de Lisboa, Portugal
2 CEG-IST, Instituto Superior Técnico, Universidade de Lisboa, Av. Rovisco Pais, 1049-001 Lisbon, Portugal
Received: , Accepted: , Published:
Special Issues: Energy Finance
References
1. Banco BPI (2019) Particulares. Available from: http://www.bancobpi.pt/particulares/poupar-investir/produtos-estruturados.
2. Benth Fred E, Kallsen Jan, Meyer-Brandis Thilo (2007) A Non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Appl Math Finance 14: 153–169.
3. Benth Fred E, Rüdiger Kiesel, Anna Nazarova (2012) A critical empirical study of three electricity spot price models. Energy Econ 34: 1589–1616.
4. Buffett, Warren E (2003) Berkshire Hathaway INC. Annual Report.
5. Burger Markus, Bernhard Klar, Alfred Müller, et al. (2006) A spot market model for pricing derivatives in electricity markets. J Quant Finance 4: 109–122.
6. Cartea Álvaro, Marcelo G Figueroa (2005) Pricing in electricity markets: A mean reverting jump diffusion model with seasonality. Appl Math Finance 12: 313–335.
7. Castro Rui (2012) Uma introdução às Energias Renováveis: Eólica, Fotovoltaica e Mini-hidrica. IST Press.
8. Célérier Claire, Boris Vallée (2015) Catering to investors through product complexity. ESRB Working Paper Series 14.
9. EEX (2017) Wind Power Futures. Available from: https://www.eex.com/en/products/energiewende-products/wind-power-futures.
10. Escribano Alvaro, Juan I Peña, Pablo Villaplana (2002) Modeling electricity prices: International evidence. Econ Series 8: 2–27.
11. Escribano Alvaro, Juan I Peña, Pablo Villaplana (2002) Modeling electricity prices: International evidence. Econ Series 8: 2–27.
12. Geman Hélyette (2005) Commodities and Commodity Derivatives-Modeling and Pricing for Agriculturals, Metals and Energy. John Wiley & Sons, Ltd.
13. Geman Hélyette, Andrea Roncoroni (2006) Understanding the fine structure of electricity prices. J Bus 79 (The University of Chicago Press): 1225–1261.
14. Hafner CM (2003) Simple approximations for option pricing under mean reversion and stochastic volatility. Comput Stat 18: 339–353.
15. Lucia Julio J, Schwartz Eduardo S (2000) Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. Rev Deriv Res 5: 5–50
16. Nunes João PV (2017) Lecture Notes. Appl Deriv, Nova SBE, April 2015.
17. OMIP (2017) Derivatives Market-Products. OMIP (The Iberian Energy Derivatives Exchange). Available from: http://www.omip.pt/MarketInfo/Produtos/tabid/76/language/en-GB/Default.aspx.
18. Pinto, Ana Sofia Nunes Alves (2013) Os produtos Estruturados Colocados no Mercado Português: Evolução das Características e da Complexidade. Faculdade de Economia da Universidade do Porto.
19. Villaplana Pablo (2003) Pricing power derivatives: A two-factor Jump-Diffusion approach. Bus Econ Series 5: 3–18.
© 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)