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Constructing Smooth Forward Curves in Electricity Markets

In: Stochastic Modeling Of Electricity And Related Markets

Author

Listed:
  • Fred Espen Benth

    (University of Oslo, Norway)

  • Jūratė Šaltytė Benth

    (University of Oslo, Norway)

  • Steen Koekebakker

    (University of Agder, Norway)

Abstract

The following sections are included:Swap and forward pricesBasic relationshipsA continuous seasonal forward curveMaximum smooth forward curveA smooth forward curve constrained by closing pricesA smooth forward curve constrained by bid and ask spreadsPutting the algorithm to workNord Pool example I: A smooth curveNord Pool example II: Preparing a data set and analysing volatility

Suggested Citation

  • Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Constructing Smooth Forward Curves in Electricity Markets," World Scientific Book Chapters, in: Stochastic Modeling Of Electricity And Related Markets, chapter 7, pages 181-201, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812315_0007
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