A mixed C-vine copula model for hedging price and volumetric risk in wind power trading

DOI10.1080/14697688.2017.1307511MaRDI QIDQ4555165zbMATH OpenOpenAlexFDO

Authors Anca Pircalabu, Jesper Jung

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1307511

zbMATH Keywords

hedgingmathematical financeenergy derivativescopula vinesspot electricity priceswind power production

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• Static hedging of weather and price risks in electricity markets
• Optimal hedging ratio of portfolio under the R-vine pair copula model
• Modeling spot price dependence in Australian electricity markets with applications to risk management
• A mixture of canonical vine copula-GARCH approach for modeling dependence of European electricity markets

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A note on adjusting correlation matrices
• A spot market model for pricing derivatives in electricity markets
• An introduction to copulas. Properties and applications
• Goodness-of-fit tests for copulas: A review and a power study
• Hedging quantity risks with standard power options in a competitive wholesale electricity market
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Pair-copula constructions of multiple dependence
• Pricing and Hedging Spread Options
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• Spatial dependencies of wind power and interrelations with spot price dynamics
• Stochastic modeling of electricity and related markets.
• Vines -- a new graphical model for dependent random variables.

Cited in

(5)

• Statistical arbitrage with vine copulas
• Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• A new approach to wind power futures pricing

This page was built for publication: A mixed C-vine copula model for hedging price and volumetric risk in wind power trading

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555165)