A mixed C-vine copula model for hedging price and volumetric risk in wind power trading

DOI10.1080/14697688.2017.1307511zbMath1402.91728OpenAlexW2590758858MaRDI QIDQ4555165

Anca Pircalabu, Jesper Jung

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1307511

zbMATH Keywords

hedgingenergy derivativesmathematical financecopula vinesspot electricity priceswind power production

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures ⋮ Statistical arbitrage with vine copulas ⋮ A new approach to wind power futures pricing

Cites Work

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• Hedging quantity risks with standard power options in a competitive wholesale electricity market
• Pricing and Hedging Spread Options
• A note on adjusting correlation matrices
• A spot market model for pricing derivatives in electricity markets
• Maximum likelihood estimation of mixed C-vines with application to exchange rates

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