Pricing electricity risk by interest rate methods
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Publication:5697336
DOI10.1080/14697680500040876zbMATH Open1118.91312OpenAlexW2087310230MaRDI QIDQ5697336FDOQ5697336
Authors: Juri Hinz, Lutz von Grafenstein, M. Verschuere, Martina Wilhelm 
Publication date: 17 October 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500040876
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Cites Work
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Changes of numéraire, changes of probability measure and option pricing
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Optimal bid strategies for electricity auctions
- Optimal Offer Construction in Electricity Markets
- Modelling day‐ahead electricity prices
- Optimizing a portfolio of power-producing plants
- An equilibrium model for electricity auctions
- A revenue-equivalence theorem for electricity auctions
Cited In (16)
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Valuing virtual production capacities on flow commodities
- Basics of electricity derivative pricing in competitive markets
- Modelling electricity futures by ambit fields
- A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
- A two-factor model for the electricity forward market
- PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
- Risk Premia in Electricity Forward Prices
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
- Risk management of power portfolios and valuation of flexibility
- Pricing of fixed budget contingent claims in competitive electricity markets
- A structural risk-neutral model for pricing and hedging power derivatives
- A structural risk-neutral model of electricity prices
- Exotic Options for Interruptible Electricity Supply Contracts
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
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