Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional

Autor:	Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu
Rok vydání:	2020
Předmět:	Mathematical optimization 050208 finance Stochastic process Subordinator Computer science 05 social sciences Lévy process Forward contract 0502 economics and business Forward price Energy market Stock market Futures contract 050205 econometrics
Zdroj:	Journal of Mathematical Finance. 10:412-430
ISSN:	2162-2442 2162-2434
DOI:	10.4236/jmf.2020.103025
Popis:	In this study, we evaluate energy forward dynamics modeled as time-change Hilbert-space of linear functional. The energy forward is represented as an element of Hilbert-space of function. Representing energy forward and futures contracts as a time-changing stochastic process in a Hilbert-space of functions shows clearly, that an arbitrage-free forward price can be derived from the buy-and hold strategy in the energy market thereby enabling investors in the market willing to be salvage from the market uncertainties as well as Arrow-Debreu situations to execute a spot or forward contracts depending on the time and place the market becomes favorable. With a clock measuring speed of evolution or data frequency for the energy stock market, the distribution of the increments of the Levy process with the subordinator is subordinated to the distribution of increments of the Levy process and the results are utilized to price forward contracts of a sample electricity commodity.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::bf8932c4fd509df9102706676790f7e4 https://doi.org/10.4236/jmf.2020.103025 Zobrazit plný text záznamu