Marcelo G. Figueroa

University of London - Birkbeck College

Malet Street

London, WC1E 7HX

United Kingdom

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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Top 15,441

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12

CROSSREF CITATIONS

62

Scholarly Papers (2)

1.

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Number of pages: 29 Posted: 04 Oct 2006
Álvaro Cartea and Marcelo G. Figueroa
University of Oxford and University of London - Birkbeck College
Downloads 3,196 (4,394)
Citation 9

Abstract:

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Energy derivatives, electricity, forward curve

2.

Modelling Electricity Prices with Forward Looking Capacity Constraints

Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122
Number of pages: 36 Posted: 26 Jan 2008 Last Revised: 11 Mar 2013
Álvaro Cartea, Marcelo G. Figueroa and Hélyette Geman
University of Oxford, University of London - Birkbeck College and University of London - Economics, Mathematics and Statistics
Downloads 897 (32,285)
Citation 9

Abstract:

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capacity constraints, mean reversion, electricity, indicated demand, electricity indicated generation, regime switching model