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

DOI10.1080/14697688.2017.1307511zbMATH Open1402.91728OpenAlexW2590758858MaRDI QIDQ4555165FDOQ4555165

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

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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)

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Pair-copula constructions of multiple dependence
• An introduction to copulas. Properties and applications
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Title not available (Why is that?)
• Title not available (Why is that?)
• Vines -- a new graphical model for dependent random variables.
• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Stochastic modeling of electricity and related markets.
• Pricing and Hedging Spread Options
• A note on adjusting correlation matrices
• Spatial dependencies of wind power and interrelations with spot price dynamics
• A spot market model for pricing derivatives in electricity markets
• Hedging quantity risks with standard power options in a competitive wholesale electricity market

Cited In (4)

• Statistical arbitrage with vine copulas
• A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
• Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
• A new approach to wind power futures pricing

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