A structural risk-neutral model of electricity prices
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- René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi, 2009. "A Structural Risk-Neutral Model Of Electricity Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 925-947.
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- 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.
- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance 1317, University of St. Gallen, School of Finance.
- Tolis, Athanasios I. & Rentizelas, Athanasios A., 2011. "An impact assessment of electricity and emission allowances pricing in optimised expansion planning of power sector portfolios," Applied Energy, Elsevier, vol. 88(11), pages 3791-3806.
- Andreas Wagner, 2014. "Residual Demand Modeling and Application to Electricity Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- repec:dau:papers:123456789/13630 is not listed on IDEAS
- Ren'e Aid & Luciano Campi & Delphine Lautier, 2015. "On the spot-futures no-arbitrage relations in commodity markets," Papers 1501.00273, arXiv.org, revised Feb 2018.
- Edouard Jaeck & Delphine Lautier, 2014. "Samuelson hypothesis and electricity derivative markets," Post-Print hal-01655800, HAL.
- René Aïd & Luciano Campi & Nicolas Langrené & Huyên Pham, 2012. "A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation," Working Papers hal-00747229, HAL.
- repec:dui:wpaper:1504 is not listed on IDEAS
- repec:dau:papers:123456789/14413 is not listed on IDEAS
- Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Spot and Derivatives Pricing when Markets are Interconnected," Working Papers on Finance 1323, University of St. Gallen, School of Finance.
- Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013. "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, vol. 40(C), pages 976-988.
- René Aid & Luciano Campi & Nicolas Langrené, 2010. "A structural risk-neutral model for pricing and hedging power derivatives," Working Papers hal-00525800, HAL.
- Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.
- Kallabis, Thomas & Pape, Christian & Weber, Christoph, 2016. "The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model," Energy Policy, Elsevier, vol. 95(C), pages 280-290.
- Ren'e Aid & Luciano Campi & Nicolas Langren'e & Huy^en Pham, 2012. "A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation," Papers 1210.8175, arXiv.org.
- Rene Carmona & Michael Coulon & Daniel Schwarz, 2012. "Electricity price modeling and asset valuation: a multi-fuel structural approach," Papers 1205.2299, arXiv.org.
- Sam Howison & Daniel Schwarz, 2010. "Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach," Papers 1011.3736, arXiv.org, revised May 2015.
- Aïd, René & Campi, Luciano & Langrené, Nicolas & Pham, Huyên, 2014. "A probabilistic numerical method for optimal multiple switching problems in high dimension," LSE Research Online Documents on Economics 63011, London School of Economics and Political Science, LSE Library.
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Keywordsenergy markets; electricity prices; fuel prices; risk-neutral probability; no-arbitrage pricing; forward contracts;
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