A DIFFUSION MODEL FOR ELECTRICITY PRICES

From MaRDI portal
Publication:4419296


DOI10.1111/j.1467-9965.2002.tb00125.xzbMath1046.91041MaRDI QIDQ4419296

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


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


Related Items

Pairs trading with a mean-reverting jump–diffusion model on high-frequency data, A spot market model for pricing derivatives in electricity markets, A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices, A non-parametric structural hybrid modeling approach for electricity prices, A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets, Dynamic Electricity Pricing to Smart Homes, Polynomial Processes for Power Prices, PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES, Pricing electricity risk by interest rate methods, The valuation of clean spread options: linking electricity, emissions and fuels, Efficient simulation of coupled gas and power networks under uncertain demands, A mean field model for the development of renewable capacities, Utility indifference valuation for non-smooth payoffs with an application to power derivatives, Electricity price modeling and asset valuation: a multi-fuel structural approach, Conditional distributions, exchangeable particle systems, and stochastic partial differential equations, Modeling and estimating commodity prices: copper prices, Multi-layer model of correlated energy prices, Valuing virtual production capacities on flow commodities, An options pricing approach to ramping rate restrictions at hydro power plants, Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices, A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices, Modeling the intraday electricity demand in Germany, Application of continuous stochastic processes in energy market models, The effect of intermittent renewables on the electricity price variance, Pricing electricity forwards under future information on the stochastic mean-reversion level, Valuation of electricity storage contracts using the COS method, Optimal control of electricity input given an uncertain demand, Time-changed CIR default intensities with two-sided mean-reverting jumps, Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach, A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES, COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW, Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model, CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS, Joint Modelling of Gas and Electricity Spot Prices, Modelling Electricity Futures by Ambit Fields, VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING, Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives, MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES, A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model, A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES



Cites Work