IDEAS home Printed from https://ideas.repec.org/r/eee/eneeco/v30y2008i3p1116-1157.html
   My bibliography  Save this item

Stochastic modeling of financial electricity contracts

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Energy Economics, Elsevier, vol. 95(C).
  2. Chai, Shanglei & Zhang, Xichun & Abedin, Mohammad Zoynul & Chen, Huizheng & Lucey, Brian & Hajek, Petr, 2023. "An optimized GRT model with blockchain digital smart contracts for power generation enterprises," Energy Economics, Elsevier, vol. 128(C).
  3. Fanelli, Viviana & Maddalena, Lucia & Musti, Silvana, 2016. "Modelling electricity futures prices using seasonal path-dependent volatility," Applied Energy, Elsevier, vol. 173(C), pages 92-102.
  4. Janssen, Matthias & Wobben, Magnus, 2008. "Electricity pricing and market power: Evidence from Germany," CAWM Discussion Papers 9, University of Münster, Münster Center for Economic Policy (MEP).
  5. 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).
  6. Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
  7. Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
  8. Zhang Yue & Arash Farnoosh, 2018. "Analysing the Dynamic Impact of Electricity Futures on Revenue and Risks of Renewable Energy in China," Working Papers hal-03188814, HAL.
  9. F. Cordoni, 2020. "A comparison of modern deep neural network architectures for energy spot price forecasting," Digital Finance, Springer, vol. 2(3), pages 189-210, December.
  10. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  11. Dennis Frestad & Fred Espen Benth & Steen Koekebakker, 2010. "Modeling Term Structure Dynamics in the Nordic Electricity Swap Market," The Energy Journal, , vol. 31(2), pages 53-86, April.
  12. Chi-Keung Woo, Ira Horowitz, Brian Horii, Ren Orans, and Jay Zarnikau, 2012. "Blowing in the Wind: Vanishing Payoffs of a Tolling Agreement for Natural-gas-fired Generation of Electricity in Texas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  13. Benth, Fred Espen & Koekebakker, Steen, 2015. "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, vol. 52(PA), pages 104-117.
  14. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
  15. Juan Ignacio Pe~na & Rosa Rodriguez, 2022. "Time-zero Efficiency of European Power Derivatives Markets," Papers 2202.01737, arXiv.org.
  16. Latini, Luca & Piccirilli, Marco & Vargiolu, Tiziano, 2019. "Mean-reverting no-arbitrage additive models for forward curves in energy markets," Energy Economics, Elsevier, vol. 79(C), pages 157-170.
  17. Zarnikau, J. & Tsai, C.H. & Woo, C.K., 2020. "Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market," Energy, Elsevier, vol. 195(C).
  18. Woo, C.K. & Shiu, A. & Liu, Y. & Luo, X. & Zarnikau, J., 2018. "Consumption effects of an electricity decarbonization policy: Hong Kong," Energy, Elsevier, vol. 144(C), pages 887-902.
  19. Pineda, S. & Conejo, A.J., 2012. "Managing the financial risks of electricity producers using options," Energy Economics, Elsevier, vol. 34(6), pages 2216-2227.
  20. Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015. "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, vol. 50(C), pages 227-239.
  21. 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.
  22. Wobben, Magnus & Dieckmann, Birgit & Reichmann, Oleg, 2012. "Valuation of physical transmission rights—An analysis of electricity cross-border capacities between Germany and the Netherlands," Energy Policy, Elsevier, vol. 42(C), pages 174-180.
  23. Olivier Féron & Pierre Gruet & Marc Hoffmann, 2020. "Efficient volatility estimation in a two‐factor model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 862-898, September.
  24. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  25. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
  26. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
  27. Farshid Mehrdoust & Idin Noorani, 2023. "Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 807-853, February.
  28. Wieger Hinderks & Andreas Wagner & Ralf Korn, 2018. "A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices," Papers 1803.08831, arXiv.org, revised Jan 2019.
  29. Matteo Basei, 2019. "Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(3), pages 355-383, June.
  30. René Aïd & Luciano Campi & Nicolas Langrené, 2010. "A structural risk-neutral model for pricing and hedging power derivatives," Working Papers hal-00525800, HAL.
  31. Fred Espen Benth & Nils Detering & Luca Galimberti, 2022. "Pricing options on flow forwards by neural networks in Hilbert space," Papers 2202.11606, arXiv.org.
  32. Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
  33. Janssen, Matthias & Wobben, Magnus, 2008. "Electricity Pricing and Market Power - Evidence from Germany," MPRA Paper 11400, University Library of Munich, Germany.
  34. Woo, C.K. & Zarnikau, J. & Moore, J. & Horowitz, I., 2011. "Wind generation and zonal-market price divergence: Evidence from Texas," Energy Policy, Elsevier, vol. 39(7), pages 3928-3938, July.
  35. Matthias Janssen & Magnus Wobben, "undated". "Electricity Pricing and Market Power - Evidence from Germany," Working Papers 200121, Institute of Spatial and Housing Economics, Munster Universitary.
  36. Woo, C.K. & Moore, J. & Schneiderman, B. & Ho, T. & Olson, A. & Alagappan, L. & Chawla, K. & Toyama, N. & Zarnikau, J., 2016. "Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets," Energy Policy, Elsevier, vol. 92(C), pages 299-312.
  37. Chi-Keung Woo & Ira Horowitz & Jay Zarnikau & Jack Moore & Brendan Schneiderman & Tony Ho & Eric Leung, 2016. "What Moves the Ex Post Variable Profit of Natural-Gas-Fired Generation in California?," The Energy Journal, , vol. 37(3), pages 29-57, July.
  38. Fred Espen Benth & Nils Detering & Silvia Lavagnini, 2021. "Accuracy of deep learning in calibrating HJM forward curves," Digital Finance, Springer, vol. 3(3), pages 209-248, December.
  39. Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
  40. Rene Carmona & Michael Coulon & Daniel Schwarz, 2012. "Electricity price modeling and asset valuation: a multi-fuel structural approach," Papers 1205.2299, arXiv.org.
  41. Frestad, Dennis, 2008. "Common and unique factors influencing daily swap returns in the Nordic electricity market, 1997-2005," Energy Economics, Elsevier, vol. 30(3), pages 1081-1097, May.
  42. Zhang, Yue & Farnoosh, Arash, 2019. "Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China," Energy Policy, Elsevier, vol. 132(C), pages 678-690.
  43. Andreis, Luisa & Flora, Maria & Fontini, Fulvio & Vargiolu, Tiziano, 2020. "Pricing reliability options under different electricity price regimes," Energy Economics, Elsevier, vol. 87(C).
  44. Claudio Fontana & Eckhard Platen & Stefan Tappe, 2024. "Real-world models for multiple term structures: a unifying HJM framework," Papers 2411.01983, arXiv.org.
  45. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  46. Olivier Feron & Pierre Gruet, 2020. "Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets," Working Papers hal-02880824, HAL.
  47. Silvana Musti & Viviana Fanelli, 2008. "Modelling electricity forward curve dynamics in the Italian market," Quaderni DSEMS 20-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  48. Cartea, Álvaro & González-Pedraz, Carlos, 2012. "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, vol. 34(1), pages 14-30.
  49. Zarnikau, J. & Woo, C.K. & Zhu, S. & Tsai, C.H., 2019. "Market price behavior of wholesale electricity products: Texas," Energy Policy, Elsevier, vol. 125(C), pages 418-428.
  50. Redl, Christian & Haas, Reinhard & Huber, Claus & Böhm, Bernhard, 2009. "Price formation in electricity forward markets and the relevance of systematic forecast errors," Energy Economics, Elsevier, vol. 31(3), pages 356-364, May.
  51. Fred Espen Benth & Paul Kruhner, 2014. "Representation of infinite dimensional forward price models in commodity markets," Papers 1403.4111, arXiv.org.
  52. Michael B. Giles & Christoph Reisinger, 2012. "Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance," Papers 1204.1442, arXiv.org.
  53. Woo, C.K. & Sreedharan, P. & Hargreaves, J. & Kahrl, F. & Wang, J. & Horowitz, I., 2014. "A review of electricity product differentiation," Applied Energy, Elsevier, vol. 114(C), pages 262-272.
  54. Woo, C.K. & Chen, Y. & Olson, A. & Moore, J. & Schlag, N. & Ong, A. & Ho, T., 2017. "Electricity price behavior and carbon trading: New evidence from California," Applied Energy, Elsevier, vol. 204(C), pages 531-543.
  55. Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu, 2017. "Additive energy forward curves in a Heath-Jarrow-Morton framework," Papers 1709.03310, arXiv.org, revised Jun 2018.
  56. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
  57. Fred Espen Benth & Nils Detering & Silvia Lavagnini, 2020. "Accuracy of Deep Learning in Calibrating HJM Forward Curves," Papers 2006.01911, arXiv.org, revised May 2021.
  58. Sanda, Gaute Egeland & Olsen, Eirik Tandberg & Fleten, Stein-Erik, 2013. "Selective hedging in hydro-based electricity companies," Energy Economics, Elsevier, vol. 40(C), pages 326-338.
  59. Iván Blanco, Juan Ignacio Peña, and Rosa Rodriguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  60. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
  61. Fred Espen Benth & Carlo Sgarra, 2024. "A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets," Finance and Stochastics, Springer, vol. 28(4), pages 1035-1076, October.
  62. Spodniak, Petr & Bertsch, Valentin, 2017. "Determinants of power spreads in electricity futures markets: A multinational analysis," Papers WP580, Economic and Social Research Institute (ESRI).
  63. Bevin-McCrimmon, Fergus & Diaz-Rainey, Ivan & McCarten, Matthew & Sise, Greg, 2018. "Liquidity and risk premia in electricity futures," Energy Economics, Elsevier, vol. 75(C), pages 503-517.
  64. Hepperger, Peter, 2012. "Hedging electricity swaptions using partial integro-differential equations," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 600-622.
  65. Bazmi, Aqeel Ahmed & Zahedi, Gholamreza, 2011. "Sustainable energy systems: Role of optimization modeling techniques in power generation and supply—A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(8), pages 3480-3500.
  66. Ricardo M. Lima & Antonio J. Conejo & Loïc Giraldi & Olivier Le Maître & Ibrahim Hoteit & Omar M. Knio, 2022. "Risk-Averse Stochastic Programming vs. Adaptive Robust Optimization: A Virtual Power Plant Application," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1795-1818, May.
  67. Russo, Marianna & Bertsch, Valentin, 2020. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Energy Economics, Elsevier, vol. 92(C).
  68. Sueyoshi, Toshiyuki, 2010. "An agent-based approach with collaboration among agents: Estimation of wholesale electricity price on PJM and artificial data generated by a mean reverting model," Energy Economics, Elsevier, vol. 32(5), pages 1025-1033, September.
  69. Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
  70. Asger Lunde & Kasper V. Olesen, 2014. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, Department of Economics and Business Economics, Aarhus University.
  71. Carl Chiarella & Les Clewlow & Boda Kang, 2009. "Modelling and Estimating the Forward Price Curve in the Energy Market," Research Paper Series 260, Quantitative Finance Research Centre, University of Technology, Sydney.
  72. Zhao, Wenhui & Zhang, Jiuyang & Li, Ruan & Zha, Ruiming, 2021. "A transaction case analysis of the development of generation rights trading and existing shortages in China," Energy Policy, Elsevier, vol. 149(C).
  73. Peña, Juan Ignacio & Rodriguez, Rosa, 2016. "Time-zero efficiency of European power derivatives markets," Energy Policy, Elsevier, vol. 95(C), pages 253-268.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.