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Multi-Factor Jump-Diffusion Models Of Electricity Prices

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Cited by:

  1. Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  2. Renato Fernandes & Isabel Soares, 2022. "Reviewing Explanatory Methodologies of Electricity Markets: An Application to the Iberian Market," Energies, MDPI, vol. 15(14), pages 1-17, July.
  3. Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger, 2013. "An empirical study of the information premium on electricity markets," Energy Economics, Elsevier, vol. 36(C), pages 55-77.
  4. Bennedsen, Mikkel, 2017. "A rough multi-factor model of electricity spot prices," Energy Economics, Elsevier, vol. 63(C), pages 301-313.
  5. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
  6. Noufel Frikha & Vincent Lemaire, 2012. "Joint Modelling of Gas and Electricity spot prices," Post-Print hal-00421289, HAL.
  7. 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).
  8. Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
  9. D. Baños & T. Meyer-Brandis & F. Proske & S. Duedahl, 2017. "Computing deltas without derivatives," Finance and Stochastics, Springer, vol. 21(2), pages 509-549, April.
  10. 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.
  11. Piergiacomo Sabino, 2021. "Normal Tempered Stable Processes and the Pricing of Energy Derivatives," Papers 2105.03071, arXiv.org.
  12. Miha Troha & Raphael Hauser, 2014. "Calculation of a power price equilibrium," Papers 1409.6645, arXiv.org.
  13. Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
  14. Mikkel Bennedsen, 2015. "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers 2015-42, Department of Economics and Business Economics, Aarhus University.
  15. 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.
  16. Hinderks, W.J. & Wagner, A., 2020. "Factor models in the German electricity market: Stylized facts, seasonality, and calibration," Energy Economics, Elsevier, vol. 85(C).
  17. Johannes Kaufmann & Philipp Artur Kienscherf & Wolfgang Ketter, 2020. "Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios," Energies, MDPI, vol. 13(14), pages 1-19, July.
  18. Maren Diane Schmeck, 2016. "Pricing Options On Forwards In Energy Markets: The Role Of Mean Reversion'S Speed," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-26, December.
  19. Thomas Deschatre & Olivier F'eron & Pierre Gruet, 2021. "A survey of electricity spot and futures price models for risk management applications," Papers 2103.16918, arXiv.org, revised Jul 2021.
  20. 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.
  21. Benth, Fred Espen & Kiesel, Rüdiger & Nazarova, Anna, 2012. "A critical empirical study of three electricity spot price models," Energy Economics, Elsevier, vol. 34(5), pages 1589-1616.
  22. Ke Wan & Alain Kornhauser, 2023. "Market Making and Pricing of Financial Derivatives based on Road Travel Times," Papers 2305.02523, arXiv.org, revised May 2023.
  23. Carlo Mari & Cristiano Baldassari, 2021. "Ensemble Methods for Jump-Diffusion Models of Power Prices," Energies, MDPI, vol. 14(8), pages 1-17, April.
  24. Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2017. "An Electricity Price Modeling Framework for Renewable-Dominant Markets," Working Paper Series in Production and Energy 23, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
  25. Stübinger, Johannes & Endres, Sylvia, 2017. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data," FAU Discussion Papers in Economics 10/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  26. Gonzalez, Jhonny & Moriarty, John & Palczewski, Jan, 2017. "Bayesian calibration and number of jump components in electricity spot price models," Energy Economics, Elsevier, vol. 65(C), pages 375-388.
  27. Maren Diane Schmeck, 2016. "Pricing options on forwards in energy markets: the role of mean reversion's speed," Papers 1602.03402, arXiv.org.
  28. 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).
  29. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
  30. Juraj Čurpek, 2019. "Time Evolution of Hurst Exponent: Czech Wholesale Electricity Market Study," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2019(3), pages 25-44.
  31. Nicola Cufaro Petroni & Piergiacomo Sabino, 2019. "Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes," Papers 1908.03137, arXiv.org, revised Mar 2020.
  32. Rafael Mendoza-Arriaga & Vadim Linetsky, 2014. "Time-changed CIR default intensities with two-sided mean-reverting jumps," Papers 1403.5402, arXiv.org.
  33. Carlo Mari & Emiliano Mari, 2021. "Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1039-1062, December.
  34. Christian Laudag'e & Florian Aichinger & Sascha Desmettre, 2023. "A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market," Papers 2306.07731, arXiv.org, revised Apr 2024.
  35. Heidar Eyjolfsson & Dag Tjøstheim, 2018. "Self-exciting jump processes with applications to energy markets," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 373-393, April.
  36. Maren Diane Schmeck & Stefan Schwerin, 2021. "The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach," Risks, MDPI, vol. 9(5), pages 1-19, May.
  37. Štěpán Kratochvíl & Oldřich Starý, 2013. "Predicting the Prices of Electricity Derivatives on the Energy Exchange," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(6), pages 65-81.
  38. Nicola Cufaro Petroni & Piergiacomo Sabino, 2020. "Gamma Related Ornstein-Uhlenbeck Processes and their Simulation," Papers 2003.08810, arXiv.org.
  39. Piergiacomo Sabino, 2020. "Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives," Papers 2004.06786, arXiv.org.
  40. St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2009. "Variance Optimal Hedging for continuous time processes with independent increments and applications," Papers 0912.0372, arXiv.org.
  41. Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel, 2013. "The case of negative day-ahead electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 22-34.
  42. Hain, Martin & Kargus, Tobias & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2022. "An electricity price modeling framework for renewable-dominant markets," Working Paper Series in Production and Energy 66, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
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