1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PR2023★ 1 cited
Risk valuation of quanto derivatives on temperature and electricity
Aurélien Alfonsi, Nerea Vadillo
This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have…
q-fin.RM2022★ 1 cited
A stochastic volatility model for the valuation of temperature derivatives
Aurélien Alfonsi, Nerea Vadillo
This paper develops a new stochastic volatility model for the temperature that is a natural extension of the Ornstein-Uhlenbeck model proposed by Benth and Benth (2007). This model…