A new approach to wind power futures pricing

DOI10.1007/S10203-021-00345-8MaRDI QIDQ2064645zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 6 January 2022

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

Full work available at URL https://doi.org/10.1007/s10203-021-00345-8

zbMATH Keywords

arithmetic multi-factor modelFourier transformLévy-type processpure-jump Ornstein-Uhlenbeck processrisk premiumstochastic differential equationwind power futureswind power production index

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Modeling and pricing in financial markets for weather derivatives
• Modeling and pricing precipitation derivatives under weather forecasts
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• Optimal trading policies for wind energy producer
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Stochastic modeling of electricity and related markets.

Cited in

(8)

• Insuring wind energy production
• Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
• Spatial dependencies of wind power and interrelations with spot price dynamics
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• A wind-dependent self-exiting electricity spot price model
• Wind power production modeling with CBI processes
• Optimal hedging of prediction errors using prediction errors

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