Pricing electricity forwards under future information on the stochastic mean-reversion level

DOI10.1007/S10203-020-00307-6MaRDI QIDQ2026537zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 19 May 2021

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-020-00307-6

zbMATH Keywords

stochastic differential equationPoisson random measureinitially enlarged filtrationarithmetic multi-factor modelelectricity spot/forward/futures priceinformation premiumpure-jump Ornstein-Uhlenbeck processLévy-type process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A spot market model for pricing derivatives in electricity markets
• A structural risk-neutral model of electricity prices
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Electricity spot price modelling with a view towards extreme spike risk
• Enlargement of filtrations with finance in view
• Financial Modelling with Jump Processes
• Harnesses, Lévy bridges and Monsieur Jourdain
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• Mathematical methods for financial markets.
• Modeling and pricing precipitation derivatives under weather forecasts
• Modelling spikes and pricing swing options in electricity markets
• Pricing electricity risk by interest rate methods
• Stochastic modeling of electricity and related markets.
• Time reversal on Lévy processes

Cited in

(5)

• An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market
• On the construction of hourly price forward curves for electricity prices
• Electricity derivatives pricing with forward-looking information
• Higher moments in the fundamental specification of electricity forward prices
• A machine learning-based price state prediction model for agricultural commodities using external factors

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