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)

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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?)
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• 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

(7)

• Statistical arbitrage with vine copulas
• A wind-dependent self-exiting electricity spot price model
• Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
• Wind power production modeling with CBI processes
• 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

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