Pricing electricity risk by interest rate methods
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Recommendations
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Cites work
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- A revenue-equivalence theorem for electricity auctions
- An equilibrium model for electricity auctions
- Changes of numéraire, changes of probability measure and option pricing
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Modelling day‐ahead electricity prices
- Optimal bid strategies for electricity auctions
- Optimal Offer Construction in Electricity Markets
- Optimizing a portfolio of power-producing plants
Cited in
(20)- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Valuation of electricity storage contracts using the COS method
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
- Valuation and pricing of electricity delivery contracts: the producer's view
- A structural risk-neutral model for pricing and hedging power derivatives
- Modelling electricity futures by ambit fields
- A two-factor model for the electricity forward market
- Exotic Options for Interruptible Electricity Supply Contracts
- A structural risk-neutral model of electricity prices
- Basics of electricity derivative pricing in competitive markets
- A structural heath-Jarrow-Morton framework for consistent intraday spot and futures electricity prices
- A multifactor polynomial framework for long-term electricity forwards with delivery period
- Structural electricity models and asymptotically normal estimators to quantify parameter risk
- PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
- Risk Premia in Electricity Forward Prices
- A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
- Pricing of fixed budget contingent claims in competitive electricity markets
- Risk management of power portfolios and valuation of flexibility
- Valuing virtual production capacities on flow commodities
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