This paper builds and implements a multifactor stochastic volatility model for the latent (and unobservable) volatility of the baseload and peakload forward contracts at the European Energy Exchange ...

Dominique Bang, head of interest rate vanilla analytics at Bank of America Merrill Lynch in London, joined us in our studio to talk about his work on a local stochastic volatility model. While the ...

Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a ...