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Stochastic modelling of electricity and related markets

by Benth, Fred Espen , Koekebakker, Steen , Saltyte Benth, Jurate

in Electric utilities / Electric utilities -- Mathematical models / Electricity / Energiemarkt / Energy Economics / Energy industries / Energy industries -- Mathematical models / Energy industry / Energy market / Energy Studies / Environmental Economics / Hedging / Marktstruktur / Mathematical Finance / Mathematical models / Modellierung / Optionsgeschäft / Quantitative Finance / SCIENCE / Stochastic models / Stochastic processes / Stochastischer Prozess

2008

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Stochastic modelling of electricity and related markets

by Benth, Fred Espen , Koekebakker, Steen , Saltyte Benth, Jurate

2008

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Stochastic modelling of electricity and related markets

by Benth, Fred Espen , Koekebakker, Steen , Saltyte Benth, Jurate

2008

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Stochastic modelling of electricity and related markets

Benth, Fred Espen,

Koekebakker, Steen,

Saltyte Benth, Jurate

2008

Overview

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.

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Publisher

World Scientific Publishing Co. Pte. Ltd,World Scientific,World Scientific Publishing Company,WORLD SCIENTIFIC,WSPC

Subject

Electric utilities

/ Electric utilities -- Mathematical models

/ Energy industries -- Mathematical models