Browsing FGV EESP - Escola de Economia de São Paulo by Author "Benabou, Daniel"

Now showing items 1-1 of 1

Modelagem de curva futura de energia elétrica utilizando o modelo HJM Multifatorial aplicada ao mercado brasileiro de energia elétrica

Benabou, Daniel
2018-08-24

For the purpose of obtaining the structure of future swap energy curves in the Brazilian market, this paper focuses on the numerical implementation of the Heath, Jarrow and Morton model (1992) using market information ...