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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Official URL: http://www.bbk.ac.uk/ems/research/wp
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: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 05 Apr 2019 08:29 |
| Last Modified: | 02 Aug 2023 17:50 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/27034 |
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