A DIFFUSION MODEL FOR ELECTRICITY PRICES

DOI10.1111/J.1467-9965.2002.TB00125.XMaRDI QIDQ4419296zbMATH OpenOpenAlexFDO

Authors Martin T. Barlow

Publication date 13 August 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2002.tb00125.x

zbMATH Keywords

mean-reverting

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A Microeconomic Approach to Diffusion Models For Stock Prices
• Box-Cox transformations in linear models: Large sample theory and tests of normality
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange

Cited in

(52)

• Modeling electricity price using a threshold conditional autoregressive geometric process jump model
• Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
• The valuation of clean spread options: linking electricity, emissions and fuels
• Application of diffusion models to forecast industrial energy demand
• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
• scientific article; zbMATH DE number 18472 (Why is no real title available?)
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• A parsimonious diffusion equation for electricity demand
• Efficient simulation of coupled gas and power networks under uncertain demands
• A structural heath-Jarrow-Morton framework for consistent intraday spot and futures electricity prices
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• A mean field model for the development of renewable capacities
• Optimal control of electricity input given an uncertain demand
• MCMC calibration of spot-prices models in electricity markets
• Multi-layer model of correlated energy prices
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives
• ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
• Pricing electricity risk by interest rate methods
• Electricity price modeling and asset valuation: a multi-fuel structural approach
• A spot market model for pricing derivatives in electricity markets
• A jump diffusion model for spot electricity prices and market price of risk
• Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
• Valuing virtual production capacities on flow commodities
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
• Joint Modelling of Gas and Electricity Spot Prices
• Modelling electricity prices by the potential jump-diffusion
• Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
• Commodity price dynamics and derivative valuation: a review
• Modelling electricity futures by ambit fields
• A non-parametric structural hybrid modeling approach for electricity prices
• An options pricing approach to ramping rate restrictions at hydro power plants
• Modeling and estimating commodity prices: copper prices
• Non-parametric estimation of Barlow's model
• Dynamic electricity pricing to smart homes
• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
• Valuation of electricity storage contracts using the COS method
• A two-regime jump-diffusion model of electricity prices
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• The effect of intermittent renewables on the electricity price variance
• A jump-diffusion model for pricing electricity under price-cap regulation
• A structural risk-neutral model for pricing and hedging power derivatives
• A structural risk-neutral model of electricity prices
• Modeling electricity loads in California: a continuous-time approach
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
• Application of continuous stochastic processes in energy market models
• Modeling the intraday electricity demand in Germany
• A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets
• Polynomial processes for power prices

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