A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES

DOI10.1142/S021902490900552XzbMath1188.91069MaRDI QIDQ3655551

Adrien Nguyen Huu, Luciano Campi, René Aïd, Nizar Touzi

Publication date: 8 January 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

electricity pricesenergy marketsforward contractrisk-neutral probabilityno-arbitrage pricingfuel prices

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (17)

Joint Modelling of Gas and Electricity Spot Prices ⋮ On the control of the difference between two Brownian motions: an application to energy markets modeling ⋮ A note on super-hedging for investor-producers ⋮ Electricity derivatives pricing with forward-looking information ⋮ Electricity price modeling and asset valuation: a multi-fuel structural approach ⋮ Efficient simulation of coupled gas and power networks under uncertain demands ⋮ A mean field model for the development of renewable capacities ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Modeling the intraday electricity demand in Germany ⋮ Application of continuous stochastic processes in energy market models ⋮ Pricing electricity forwards under future information on the stochastic mean-reversion level ⋮ Optimal control of electricity input given an uncertain demand ⋮ Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach ⋮ A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices ⋮ A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES ⋮ A non-parametric structural hybrid modeling approach for electricity prices ⋮ A PRINCIPAL–AGENT APPROACH TO CAPACITY REMUNERATION MECHANISMS

Cites Work

• Unnamed Item
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A note on arbitrage‐free pricing of forward contracts in energy markets
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Arbitrage Theory in Continuous Time

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