IDEAS home Printed from https://ideas.repec.org/a/gam/jrisks/v11y2023i8p150-d1217133.html
   My bibliography  Save this article

Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada

Author

Listed:
  • Anatoliy Swishchuk

    (Department of Mathematics and Statistics, University of Calgary, Calgary, AB T2N 1N4, Canada)

Abstract

This paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil options using the Lévy processes, energy contracts modeling with delayed and jumped volatilities, applications of mean-reverting processes on Alberta energy markets, and alternatives to the Black-76 model for options valuation of futures contracts. We will also consider the clean renewable energy prospective in Canada, and, in particular, in Alberta and Calgary.

Suggested Citation

  • Anatoliy Swishchuk, 2023. "Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada," Risks, MDPI, vol. 11(8), pages 1-30, August.
    • Handle: RePEc:gam:jrisks:v:11:y:2023:i:8:p:150-:d:1217133
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-9091/11/8/150/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-9091/11/8/150/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. R. Navarro & H. Rojas & Izabelly S. De Oliveira & J. E. Luyo & Y. P. Molina, 2022. "Optimization Model for the Integration of the Electric System and Gas Network: Peruvian Case," Energies, MDPI, vol. 15(10), pages 1-32, May.
    2. Sergei Podkovalnikov & Lyudmila Chudinova & Ivan L. Trofimov & Leonid Trofimov, 2022. "Structural and Operating Features of the Creation of an Interstate Electric Power Interconnection in North-East Asia with Large-Scale Penetration of Renewables," Energies, MDPI, vol. 15(10), pages 1-29, May.
    3. Piotr F. Borowski, 2020. "Zonal and Nodal Models of Energy Market in European Union," Energies, MDPI, vol. 13(16), pages 1-21, August.
    4. Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
    5. Bo Sun & Siyuan Cheng & Jingdong Xie & Xin Sun, 2022. "Identification of Generators’ Economic Withholding Behavior Based on a SCAD-Logit Model in Electricity Spot Market," Energies, MDPI, vol. 15(11), pages 1-23, June.
    6. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    7. Zahid Ullah & Arshad & Hany Hassanin, 2022. "Modeling, Optimization, and Analysis of a Virtual Power Plant Demand Response Mechanism for the Internal Electricity Market Considering the Uncertainty of Renewable Energy Sources," Energies, MDPI, vol. 15(14), pages 1-16, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Benth, Fred Espen & Saltyte Benth, Jurate, 2009. "Dynamic pricing of wind futures," Energy Economics, Elsevier, vol. 31(1), pages 16-24, January.
    2. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, August.
    3. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457, August.
    4. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    5. Andriosopoulos, Kostas & Nomikos, Nikos, 2014. "Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets," European Journal of Operational Research, Elsevier, vol. 234(2), pages 571-582.
    6. Unterschultz, James R., 2000. "New Instruments For Co-Ordination And Risk Sharing Within The Canadian Beef Industry," Project Report Series 24046, University of Alberta, Department of Resource Economics and Environmental Sociology.
    7. Hjalmarsson, Erik, 2003. "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics 101, University of Gothenburg, Department of Economics.
    8. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    9. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    10. Turvey, Calum G., 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics.
    11. Adjemian, Michael K. & Johansson, Robert & McKenzie, Andrew & Thomsen, Michael, 2016. "The Value of Government Information in an Era of Declining Budgets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235811, Agricultural and Applied Economics Association.
    12. Roberto Baviera, 2017. "Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model," Papers 1712.06466, arXiv.org.
    13. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    14. Allan Jonathan da Silva & Jack Baczynskiy & José Valentim M. Vicente, 2015. "A Discrete Monitoring Method for Pricing Asian Interest Rate Options," Working Papers Series 409, Central Bank of Brazil, Research Department.
    15. Kokholm, Thomas, 2008. "Pricing of Traffic Light Options and other Correlation Derivatives," Finance Research Group Working Papers F-2008-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    16. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
    17. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
    18. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    19. Gustavo Silva Araujo & Ricardo Alves Carmo Ribeiro, 2018. "Is Petrobras Options Market Efficient? A Study Using The Delta-Gamma Neutral Strategy," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 126, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    20. Takami, Marcelo Yoshio & Tabak, Benjamin Miranda, 2008. "Interest rate option pricing and volatility forecasting: An application to Brazil," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 755-763.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:11:y:2023:i:8:p:150-:d:1217133. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.