Electricity spot price modelling with a view towards extreme spike risk

DOI10.1080/14697680903150496zbMath1210.91155MaRDI QIDQ2994839

Thilo Meyer-Brandis, Claudia Klüppelberg, Andrea Schmidt

Publication date: 29 April 2011

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

Full work available at URL: https://doi.org/10.1080/14697680903150496

zbMATH Keywords

extreme value theory; energy derivatives; financial mathematics; energy markets

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

91G20: Derivative securities (option pricing, hedging, etc.)

91G99: Actuarial science and mathematical finance

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Cites Work

• Limit theory for the sample covariance and correlation functions of moving averages
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The qq-estimator and heavy tails
• Statistics of Extremes
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes