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A note on arbitrage-free pricing of forward contracts in energy markets

Citations

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Cited by:

  1. Brix, Anne Floor & Lunde, Asger & Wei, Wei, 2018. "A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method," Energy Economics, Elsevier, vol. 72(C), pages 560-582.
  2. 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).
  3. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
  4. Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
  5. 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.
  6. Fred Espen Benth & Paul Kettler, 2010. "Dynamic copula models for the spark spread," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 407-421.
  7. Kurucak, Abdurrahman & Shcherbakova, Anastasia, 2016. "Estimating the hedging value of an energy exchange in Turkey to a retail power consumer," Energy, Elsevier, vol. 101(C), pages 16-26.
  8. René Aïd & Luciano Campi & Nicolas Langrené, 2010. "A structural risk-neutral model for pricing and hedging power derivatives," Working Papers hal-00525800, HAL.
  9. Tsitakis, D. & Xanthopoulos, S. & Yannacopoulos, A.N., 2006. "A closed-form solution for the price of cross-commodity electricity derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 543-551.
  10. Erlwein, Christina & Benth, Fred Espen & Mamon, Rogemar, 2010. "HMM filtering and parameter estimation of an electricity spot price model," Energy Economics, Elsevier, vol. 32(5), pages 1034-1043, September.
  11. Ballester, Cristina & Furió, Dolores, 2015. "Effects of renewables on the stylized facts of electricity prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 1596-1609.
  12. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  13. John Crosby, 2008. "A multi-factor jump-diffusion model for commodities," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 181-200.
  14. Niall Farrell & Mel T. Devine & William T. Lee & James P. Gleeson & Seán Lyons, 2017. "Specifying An Efficient Renewable Energy Feed-in Tariff," The Energy Journal, , vol. 38(2), pages 53-76, March.
  15. Asger Lunde & Anne Floor Brix & Wei Wei, 2015. "A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method," CREATES Research Papers 2015-46, Department of Economics and Business Economics, Aarhus University.
  16. 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.
  17. Markus Hess, 2026. "Modeling Electricity Prices with Stochastic Langevin Equations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 33(1), pages 315-346, March.
  18. Albani, V.V.L. & Marcavillaca, R.T. & Moreira, P.S.E. & Avila, S.L. & Geremia, M. & Piovezan, R.P.B. & Sica, E.T. & Santos, E., 2025. "Short-term forecasting of forward prices in the Brazilian electricity market with a hybrid stochastic-neural network model," Energy Economics, Elsevier, vol. 148(C).
  19. 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.
  20. Green, Rikard, 2015. "A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks," Knut Wicksell Working Paper Series 2015/1, Lund University, Knut Wicksell Centre for Financial Studies.
  21. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, September.
  22. Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
  23. Xiong, Heng & Mamon, Rogemar, 2019. "A higher-order Markov chain-modulated model for electricity spot-price dynamics," Applied Energy, Elsevier, vol. 233, pages 495-515.
  24. Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 313-335.
  25. Percival Pineda, 2017. "Financial liberalization and private sector borrowing in ASEAN 4 economies 1990–2012," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 277-295, August.
  26. Benth Fred E & Saltyte-Benth Jurate, 2006. "Analytical Approximation for the Price Dynamics of Spark Spread Options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-28, September.
  27. Xavier Warin, 2017. "Variance optimal hedging with application to Electricity markets," Papers 1711.03733, arXiv.org, revised Aug 2018.
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