MCMC calibration of spot-prices models in electricity markets

DOI10.1002/ASMB.2471MaRDI QIDQ6576819zbMATH OpenFDO

Authors Alice Guerini, Andrea Marziali, Giuseppe De Nicolao

Publication date 23 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2471

zbMATH Keywords

electricity marketsMarkov chain Monte Carlomean-reverting commodity pricemultifactor modelstochastic differential equationsvolatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Bayesian analysis of stochastic process models
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• Efficient estimation of Markov regime-switching models: an application to electricity spot prices
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Statistics and Data Analysis for Financial Engineering
• The Nature of Power Spikes: A Regime-Switch Approach

Cited in

(1)

• Fast calibration of two-factor models for energy option pricing

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