Energy price risk management

DOI10.1016/S0378-4371(00)00276-4zbMath1059.91509arXivcond-mat/0103273OpenAlexW2169964232MaRDI QIDQ1577084

Rafał Weron

Publication date: 29 August 2000

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0103273

zbMATH Keywords

autocorrelationsmarket volatilityelectricity marketseconophysicselectricity priceelectricity derivatives hedgingelectricity derivatives pricingextreme price movementsstandard financial tools

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (6)

Minimizing price‐risk exposure for deregulated electricity market participants ⋮ Modeling electricity loads in California: a continuous-time approach ⋮ Modeling risk contagion in the Italian zonal electricity market ⋮ Energy price risk management ⋮ Economic fluctuations and possible non-linear relations between macroeconomic variables for Brazil ⋮ Measuring anti-correlations in the nordic electricity spot market by wavelets

Uses Software

• longmemo

Cites Work

• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Energy price risk management
• Theory of Financial Risk and Derivative Pricing
• Pricing Interest-Rate-Derivative Securities
• Unnamed Item
• Unnamed Item

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