STochastic Modeling of Electricity and Related Markets

Fred Espen Benth · Jūratė Šaltytė Benth · Steen Koekebakker

307 citations0/0 files storedAdvanced series on statistical science and applied probability

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Stochastic processes and financial applications Market Dynamics and Volatility Energy Load and Power Forecasting

Abstract

A Survey of Electricity and Related Markets Stochastic Analysis for Independent Increment Processes Stochastic Models for the Energy Spot Price Dynamics Pricing of Forwards and Swaps Based on the Spot Price Applications to the Gas Markets Modeling Forwards and Swaps Using the Heath-Jarrow-Morton Approach Constructing Smooth Forward Curves in Electricity Markets Modeling of the Electricity Futures Market Pricing and Hedging of Energy Options Analysis of Temperature Derivatives.

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2013Estimation methods for expected shortfall 2011A Critical Empirical Study of Three Electricity Spot Price Models 2008Heavy-tails and regime-switching in electricity prices 2010Dual pricing of multi-exercise options under volume constraints 2013A Survey of Commodity Markets and Structural Models for Electricity Prices 2015Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty 2011Efficient estimation of Markov regime-switching models: An application to electricity spot prices 2012Electricity price modeling and asset valuation: a multi-fuel structural approach

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