On the Term Structure of Futures and Forward Prices

By Tomas Björk, C. Landén. 2002

64 citations recorded by the source corpus.

Subfields: Finance

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Electricity derivatives and risk management (2006, methodology): “If there is not enough forward-looking market information for implementing a no-arbitrage pricing model, then equilibrium models can be applied to obtain derivative prices, as in [31], [34], [40], and [43] for forward prices and [44] for spark spreads.”
Pricing and Hedging Spread Options (2003, background): “This approach is advocated in [5] and [51], to which we refer the interested reader.”