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A survey of electricity spot and futures price models for risk management applications

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  • Deschatre, Thomas
  • Féron, Olivier
  • Gruet, Pierre

Abstract

This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881
    DOI: 10.1016/j.eneco.2021.105504
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    9. Donglan Liu & Xin Liu & Kun Guo & Qiang Ji & Yingxian Chang, 2023. "Spillover Effects among Electricity Prices, Traditional Energy Prices and Carbon Market under Climate Risk," IJERPH, MDPI, vol. 20(2), pages 1-18, January.
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    6. Hinderks, W.J. & Wagner, A., 2020. "Factor models in the German electricity market: Stylized facts, seasonality, and calibration," Energy Economics, Elsevier, vol. 85(C).
    7. Markus Hess, 2020. "Pricing electricity forwards under future information on the stochastic mean-reversion level," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 751-767, December.
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    More about this item

    Keywords

    Electricity price modeling; Electricity markets; Risk management;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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