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Stochastic Modeling of Electricity and Related Markets

Citations

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Cited by:

  1. Edward P. C. Kao & Weiwei Xie, 2017. "Pricing spread options by generalized bivariate edgeworth expansion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-30, June.
  2. Xi Kleisinger-Yu & Vlatka Komaric & Martin Larsson & Markus Regez, 2019. "A multi-factor polynomial framework for long-term electricity forwards with delivery period," Papers 1908.08954, arXiv.org, revised Jun 2020.
  3. Prilly Oktoviany & Robert Knobloch & Ralf Korn, 2021. "A machine learning-based price state prediction model for agricultural commodities using external factors," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1063-1085, December.
  4. 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).
  5. Hinderks, W.J. & Wagner, A., 2019. "Pricing German Energiewende products: Intraday cap/floor futures," Energy Economics, Elsevier, vol. 81(C), pages 287-296.
  6. Baviera, Roberto & Santagostino Baldi, Tommaso, 2019. "Stop-loss and leverage in optimal statistical arbitrage with an application to energy market," Energy Economics, Elsevier, vol. 79(C), pages 130-143.
  7. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
  8. Tegnér, Martin & Ernstsen, Rune Ramsdal & Skajaa, Anders & Poulsen, Rolf, 2017. "Risk-minimisation in electricity markets: Fixed price, unknown consumption," Energy Economics, Elsevier, vol. 68(C), pages 423-439.
  9. Gudkov, Nikolay & Ignatieva, Katja, 2021. "Electricity price modelling with stochastic volatility and jumps: An empirical investigation," Energy Economics, Elsevier, vol. 98(C).
  10. Carlo Lucheroni, 2010. "Stochastic models of resonating markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(1), pages 77-88, June.
  11. 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.
  12. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
  13. Pircalabu, A. & Benth, F.E., 2017. "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, vol. 68(C), pages 283-302.
  14. Boonstra, Boris C. & Oosterlee, Cornelis W., 2021. "Valuation of electricity storage contracts using the COS method," Applied Mathematics and Computation, Elsevier, vol. 410(C).
  15. Markus Hess, 2019. "An Arithmetic Pure-Jump Multi-Curve Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-30, December.
  16. Zong, Lu & Ender, Manuela, 2013. "Model Comparison for Temperature-based Weather Derivatives in Mainland China," Conference papers 332293, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  17. 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.
  18. Jun Maekawa & Koji Shimada, 2019. "A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange," Energies, MDPI, vol. 12(15), pages 1-15, July.
  19. Hinderks, W.J. & Wagner, A., 2020. "Factor models in the German electricity market: Stylized facts, seasonality, and calibration," Energy Economics, Elsevier, vol. 85(C).
  20. Lingohr, Daniel & Müller, Gernot, 2021. "Conditionally independent increment processes for modeling electricity prices with regard to renewable power generation," Energy Economics, Elsevier, vol. 103(C).
  21. Benth, Fred Espen & Eikeset, Anne Maria & Levin, Simon Asher & Ren, Wanjuan, 2021. "Analysis of the risk premium in the forward market for salmon," Journal of Commodity Markets, Elsevier, vol. 21(C).
  22. Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
  23. 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.
  24. Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh, 2018. "Valuation of power plants," European Journal of Operational Research, Elsevier, vol. 266(3), pages 1153-1174.
  25. Zheng Xu, 2016. "An alternative circular smoothing method to nonparametric estimation of periodic functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1649-1672, July.
  26. Benth, Fred Espen & Schroers, Dennis & Veraart, Almut E.D., 2022. "A weak law of large numbers for realised covariation in a Hilbert space setting," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 241-268.
  27. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  28. Lima, Leonardo S. & Santos, Greicy K.C., 2018. "Stochastic process with multiplicative structure for the dynamic behavior of the financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 222-229.
  29. Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.
  30. Tahir Choulli & Ella Elazkany & Mich`ele Vanmaele, 2024. "Applications of the Second-Order Esscher Pricing in Risk Management," Papers 2410.21649, arXiv.org.
  31. Lu Zong & Manuela Ender, 2018. "Comparison of Stochastic and Spline Models for Temperature‐based Derivatives in China," Pacific Economic Review, Wiley Blackwell, vol. 23(4), pages 547-589, October.
  32. Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2020. "Tail risk of electricity futures," Energy Economics, Elsevier, vol. 91(C).
  33. Matteo Gardini & Edoardo Santilli, 2023. "A Heath-Jarrow-Morton framework for energy markets: a pragmatic approach," Papers 2305.01485, arXiv.org, revised Nov 2023.
  34. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  35. Johannes Assefa & Philipp Harms, 2022. "Cylindrical stochastic integration and applications to financial term structure modeling," Papers 2208.03939, arXiv.org, revised May 2023.
  36. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
  37. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 13-49.
  38. Müller, Gernot & Seibert, Armin, 2019. "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, vol. 78(C), pages 267-277.
  39. Yonatan Berman & Eshel Ben-Jacob & Xin Zhang & Yoash Shapira, 2016. "Analyzing the Long Term Cohesive Effect of Sector Specific Driving Forces," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-16, March.
  40. 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.
  41. Mason, Charles F. & Wilmot, Neil A., 2024. "On climate fat tails and politics," Resources Policy, Elsevier, vol. 92(C).
  42. Almendra Awerkin & Tiziano Vargiolu, 2021. "Optimal installation of renewable electricity sources: the case of Italy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1179-1209, December.
  43. Lingohr, Daniel & Müller, Gernot, 2019. "Stochastic modeling of intraday photovoltaic power generation," Energy Economics, Elsevier, vol. 81(C), pages 175-186.
  44. Ren� Carmona & Michael Coulon & Daniel Schwarz, 2012. "The valuation of clean spread options: linking electricity, emissions and fuels," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1951-1965, December.
  45. Fred Espen Benth & Anca Pircalabu, 2018. "A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(1), pages 36-65, January.
  46. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
  47. Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
  48. Larsson, Karl & Green, Rikard & Benth, Fred Espen, 2023. "A stochastic time-series model for solar irradiation," Energy Economics, Elsevier, vol. 117(C).
  49. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
  50. Mason, Charles F. & Wilmot, Neil A., 2020. "Jumps in the convenience yield of crude oil," Resource and Energy Economics, Elsevier, vol. 60(C).
  51. Tarjei Kristiansen, 2023. "Analyzing Risk Premiums in the Brazilian Power Market: A Quantitative Study," Commodities, MDPI, vol. 2(4), pages 1-16, November.
  52. Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
  53. Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
  54. Simone Göttlich & Ralf Korn & Kerstin Lux, 2019. "Optimal control of electricity input given an uncertain demand," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(3), pages 301-328, December.
  55. Larsson, Karl, 2023. "Parametric heat wave insurance," Journal of Commodity Markets, Elsevier, vol. 31(C).
  56. 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).
  57. Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele, 2017. "Pricing of commodity derivatives on processes with memory," Papers 1711.00307, arXiv.org.
  58. Christa Cuchiero & Francesco Guida & Luca di Persio & Sara Svaluto-Ferro, 2021. "Measure-valued affine and polynomial diffusions," Papers 2112.15129, arXiv.org.
  59. Fernandes, Mário Correia & Dias, José Carlos & Nunes, João Pedro Vidal, 2021. "Modeling energy prices under energy transition: A novel stochastic-copula approach," Economic Modelling, Elsevier, vol. 105(C).
  60. Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
  61. Bressan, Giacomo Maria & Romagnoli, Silvia, 2021. "Climate risks and weather derivatives: A copula-based pricing model," Journal of Financial Stability, Elsevier, vol. 54(C).
  62. Adland, Roar & Benth, Fred Espen & Koekebakker, Steen, 2018. "Multivariate modeling and analysis of regional ocean freight rates," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 113(C), pages 194-221.
  63. Nikola Krečar & Andrej F. Gubina, 2020. "Risk mitigation in the electricity market driven by new renewable energy sources," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 9(1), January.
  64. Bikeri Adline & Kazushi Ikeda, 2023. "A Hawkes Model Approach to Modeling Price Spikes in the Japanese Electricity Market," Energies, MDPI, vol. 16(4), pages 1-20, February.
  65. Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.
  66. Spodniak, Petr & Bertsch, Valentin, 2020. "Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis," Energy, Elsevier, vol. 196(C).
  67. Fred Espen Benth & Heidar Eyjolfsson, 2022. "Robustness of Hilbert space-valued stochastic volatility models," Papers 2211.16071, arXiv.org.
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