Modelling Electricity Prices with Forward Looking Capacity Constraints

DOI10.1080/13504860802351164zbMath1169.91339OpenAlexW3122234289MaRDI QIDQ3395723

Marcelo G. Figueroa, Álvaro Cartea, Hélyette Geman

Publication date: 13 September 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/12104

zbMATH Keywords

mean reversionregime switching modelcapacity constraintselectricity indicated demandelectricity indicated generation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (5)

Optimal Cross-Border Electricity Trading ⋮ Electricity derivatives pricing with forward-looking information ⋮ Electricity price modeling and asset valuation: a multi-fuel structural approach ⋮ Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Cites Work

• 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
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Modelling spikes and pricing swing options in electricity markets
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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