Yuri Gusev

IRMACS Centre, SFU

Researcher

8888 University Drive

Burnaby, British Columbia V5A 1S6

Canada

  • IRMACS Centre, SFU

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Calibration of Multifactor Models in Electricity Markets

Number of pages: 22 Posted: 02 Nov 2004
Martin T. Barlow, Yuri Gusev and Manpo Lai
University of British Columbia (UBC) - Department of Mathematics, IRMACS Centre, SFU and Algorithmics Inc.
Downloads 1,112 (22,677)

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Electricity markets, mean-reverting commodity prices, multifactor models, stochastic differential equations, Kalman Filters, calibration of market models

2.

Calibration of Multifactor Models in Electricity Markets

Science Direct Working Paper No S1574-0358(04)70992-2
Number of pages: 22 Posted: 21 May 2018
Martin Barlow, Yuri Gusev and Manpo Lai
affiliation not provided to SSRN, IRMACS Centre, SFU and Algorithmics Inc.
Downloads 6 (708,940)

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electricity markets, multifactor models, stochastic differential equations, Kalman Filters, calibration of market models, C32, C52, Q40