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An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market

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  • Luca Di Persio
  • Isacco Perin

Abstract

We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obtained from the forward model through a limiting argument. Furthermore, we show, also providing a concrete example, that a proper specification of these models is able to effectively forecast prices of forward contracts written on the European Energy Exchange (EEX) AG, or German Energy Exchange, market.

Suggested Citation

  • Luca Di Persio & Isacco Perin, 2015. "An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market," Journal of Probability and Statistics, Hindawi, vol. 2015, pages 1-17, October.
    • Handle: RePEc:hin:jnljps:626020
    DOI: 10.1155/2015/626020
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    Cited by:

    1. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
    2. Thomas Deschatre & Olivier F'eron & Pierre Gruet, 2021. "A survey of electricity spot and futures price models for risk management applications," Papers 2103.16918, arXiv.org, revised Jul 2021.
    3. Fred Espen Benth & Heidar Eyjolfsson, 2022. "Robustness of Hilbert space-valued stochastic volatility models," Papers 2211.16071, arXiv.org.

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