{"id":"https://openalex.org/W3160380084","doi":"https://doi.org/10.1137/21m1425207","title":"Normal Tempered Stable Processes and the Pricing of Energy Derivatives","display_name":"Normal Tempered Stable Processes and the Pricing of Energy Derivatives","publication_year":2023,"publication_date":"2023-01-20","ids":{"openalex":"https://openalex.org/W3160380084","doi":"https://doi.org/10.1137/21m1425207","mag":"3160380084"},"language":"en","primary_location":{"id":"doi:10.1137/21m1425207","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1425207","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5114375355","display_name":"Piergiacomo Sabino","orcid":"https://orcid.org/0000-0003-2072-2353"},"institutions":[{"id":"https://openalex.org/I133731052","display_name":"University of Helsinki","ror":"https://ror.org/040af2s02","country_code":"FI","type":"education","lineage":["https://openalex.org/I133731052"]}],"countries":["FI"],"is_corresponding":true,"raw_author_name":"Piergiacomo Sabino","raw_affiliation_strings":["Quantitative Risk Management, E.ON SE, 45131 Essen, Germany, and Department of Mathematics and Statistics, University of Helsinki, FI-00014, Helsinki, Finland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Quantitative Risk Management, E.ON SE, 45131 Essen, Germany, and Department of Mathematics and Statistics, University of Helsinki, FI-00014, Helsinki, Finland","institution_ids":["https://openalex.org/I133731052"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5114375355"],"corresponding_institution_ids":["https://openalex.org/I133731052"],"apc_list":null,"apc_paid":null,"fwci":1.8092,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.84468978,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"14","issue":"1","first_page":"99","last_page":"126"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11520","display_name":"Advanced Thermodynamics and Statistical Mechanics","score":0.9696000218391418,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9693999886512756,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5754239559173584},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.5290486216545105},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4984703063964844},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.46766912937164307},{"id":"https://openalex.org/keywords/gaussian-process","display_name":"Gaussian process","score":0.4563399851322174},{"id":"https://openalex.org/keywords/ornstein\u2013uhlenbeck-process","display_name":"Ornstein\u2013Uhlenbeck process","score":0.4511609673500061},{"id":"https://openalex.org/keywords/inverse-gaussian-distribution","display_name":"Inverse Gaussian distribution","score":0.4392049014568329},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41870737075805664},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4094451665878296},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.39107728004455566},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.347980797290802},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.31867146492004395},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.26952552795410156},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.11116638779640198},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.09954872727394104}],"concepts":[{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5754239559173584},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5290486216545105},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4984703063964844},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.46766912937164307},{"id":"https://openalex.org/C61326573","wikidata":"https://www.wikidata.org/wiki/Q1496376","display_name":"Gaussian process","level":3,"score":0.4563399851322174},{"id":"https://openalex.org/C31634936","wikidata":"https://www.wikidata.org/wiki/Q1757587","display_name":"Ornstein\u2013Uhlenbeck process","level":3,"score":0.4511609673500061},{"id":"https://openalex.org/C132878287","wikidata":"https://www.wikidata.org/wiki/Q1671727","display_name":"Inverse Gaussian distribution","level":3,"score":0.4392049014568329},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41870737075805664},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4094451665878296},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.39107728004455566},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.347980797290802},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.31867146492004395},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.26952552795410156},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.11116638779640198},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.09954872727394104},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/21m1425207","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1425207","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/7","score":0.7099999785423279,"display_name":"Affordable and clean energy"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":56,"referenced_works":["https://openalex.org/W1480459000","https://openalex.org/W1499969990","https://openalex.org/W1965967625","https://openalex.org/W1972485395","https://openalex.org/W1973444515","https://openalex.org/W1998591187","https://openalex.org/W2002379239","https://openalex.org/W2010681211","https://openalex.org/W2015743153","https://openalex.org/W2018857587","https://openalex.org/W2020041898","https://openalex.org/W2025952763","https://openalex.org/W2031817855","https://openalex.org/W2065583156","https://openalex.org/W2071316111","https://openalex.org/W2074269207","https://openalex.org/W2082176355","https://openalex.org/W2088248745","https://openalex.org/W2111473977","https://openalex.org/W2121511461","https://openalex.org/W2123696687","https://openalex.org/W2126311658","https://openalex.org/W2137451767","https://openalex.org/W2145224101","https://openalex.org/W2150313108","https://openalex.org/W2152828142","https://openalex.org/W2153805635","https://openalex.org/W2164378403","https://openalex.org/W2169192833","https://openalex.org/W2345171146","https://openalex.org/W2404800001","https://openalex.org/W2441957133","https://openalex.org/W2789721926","https://openalex.org/W2797641211","https://openalex.org/W2803375681","https://openalex.org/W2913692319","https://openalex.org/W2998574091","https://openalex.org/W3012711711","https://openalex.org/W3015232666","https://openalex.org/W3016243882","https://openalex.org/W3016964882","https://openalex.org/W3092091574","https://openalex.org/W3095121242","https://openalex.org/W3099223682","https://openalex.org/W3099273337","https://openalex.org/W3109513815","https://openalex.org/W3113221786","https://openalex.org/W3121342101","https://openalex.org/W3122793530","https://openalex.org/W3122855307","https://openalex.org/W3123783834","https://openalex.org/W3124420054","https://openalex.org/W3137710893","https://openalex.org/W3205264403","https://openalex.org/W4214695291","https://openalex.org/W4234965868"],"related_works":["https://openalex.org/W2007347740","https://openalex.org/W1982258992","https://openalex.org/W2930298464","https://openalex.org/W2947916784","https://openalex.org/W2079246320","https://openalex.org/W2169866437","https://openalex.org/W1964286703","https://openalex.org/W2992577615","https://openalex.org/W2343637800","https://openalex.org/W4318775057"],"abstract_inverted_index":{"In":[0],"this":[1],"study":[2],"we":[3,88,149],"consider":[4],"the":[5,11,29,62,69,75,94,98,102,115,118,122,126,129],"pricing":[6,130],"of":[7,13,31,64,97,117,128,131,136],"energy":[8,41],"derivatives":[9],"when":[10],"evolution":[12],"spot":[14,70],"prices":[15],"is":[16,59,72],"modeled":[17],"with":[18,74,142],"a":[19],"normal":[20,32],"tempered":[21],"stable":[22],"driven":[23],"Ornstein\u2013Uhlenbeck":[24],"process.":[25],"Such":[26],"processes":[27,35],"are":[28,37],"generalization":[30],"inverse":[33],"Gaussian":[34],"that":[36,68],"widely":[38],"used":[39],"in":[40,54,125],"finance":[42],"applications.":[43],"We":[44,113],"first":[45],"specify":[46],"their":[47,51],"statistical":[48],"properties":[49],"calculating":[50],"characteristic":[52],"function":[53],"closed":[55],"form.":[56],"This":[57],"result":[58],"instrumental":[60],"for":[61,93],"derivation":[63],"nonarbitrage":[65],"conditions":[66],"such":[67],"dynamics":[71],"consistent":[73],"forward":[76],"curve":[77],"without":[78,109],"relying":[79],"on":[80,84],"numerical":[81,85],"approximations":[82,110],"or":[83,111],"integration.":[86],"Moreover,":[87],"conceive":[89],"an":[90,151],"efficient":[91],"algorithm":[92],"exact":[95],"generation":[96],"trajectories":[99],"which":[100],"gives":[101],"possibility":[103],"to":[104,153],"implement":[105],"Monte":[106],"Carlo":[107],"simulations":[108],"bias.":[112],"illustrate":[114],"applicability":[116],"theoretical":[119],"findings":[120],"and":[121,145],"simulation":[123],"algorithms":[124],"context":[127],"different":[132],"contracts,":[133],"namely,":[134],"strips":[135],"daily":[137],"call":[138],"options,":[139],"Asian":[140],"options":[141],"European":[143],"style,":[144],"swing":[146],"options.":[147],"Finally,":[148],"present":[150],"extension":[152],"future":[154],"markets.":[155]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":4},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
