3 papers
q-fin.GN2026
Forecasting of volatility and risk premia in electricity markets
Thomas K. Kloster, Fred Espen Benth
We study forecasting of the realized covariation in electricity markets. The realized covariation in this context is a matrix-valued representation of the latent infinite-dimension…
q-fin.MF2026
A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
Pere Diaz-Lozano, Thomas K. Kloster
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian no…
q-fin.MF2025
An Ambit Field Framework for the Full Panel of Day-ahead Electricity Prices
Thomas K. Kloster
This paper considers the often overlooked fact that electricity spot prices in individual European generation zones evolve as a high dimensional panel structure. A general continuo…