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    Pricing in electricity markets: a mean reverting jump diffusion model with seasonality

    Cartea, Alvaro and Figueroa, M.G. (2005) Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    In this paper we present a mean-reverting jump diffusion model for the electricity spot price and derive the corresponding forward in closed-form. Based on historical spot data and forward data from England and Wales we calibrate the model and present months, quarters, and seasons–ahead forward surfaces.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0507
    Keyword(s) / Subject(s): Energy derivatives, electricity, forward curve, forward surfaces
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 05 Apr 2019 08:29
    Last Modified: 12 Jun 2021 17:33
    URI: https://eprints.bbk.ac.uk/id/eprint/27034

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