Modelling Energy Markets with Extreme Spikes

DOI10.1007/978-3-540-69532-5_20MaRDI QIDQ3528746zbMATH OpenOpenAlexFDO

Authors Thorsten Schmidt

Publication date 17 October 2008

Published in Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69532-5_20

Mathematics Subject Classification ID

Stochastic processes (60G99) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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(9)

• Electricity spot price modelling with a view towards extreme spike risk
• Modelling Electricity Prices with Forward Looking Capacity Constraints
• Non-parametric estimation of Barlow's model
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• Estimating fast mean-reverting jumps in electricity market models
• Term structure modeling with overnight rates beyond stochastic continuity
• Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
• Affine models with path-dependence under parameter uncertainty and their application in finance
• A common shock model for multidimensional electricity intraday price modelling with application to battery valuation

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