Electricity spot price modelling with a view towards extreme spike risk

DOI10.1080/14697680903150496zbMath1210.91155OpenAlexW2051354157MaRDI QIDQ2994839

Thilo Meyer-Brandis, Claudia Klüppelberg, Andrea Schmidt

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903150496

zbMATH Keywords

extreme value theoryenergy derivativesfinancial mathematicsenergy markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (16)

Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes ⋮ Realized Laplace transforms for pure-jump semimartingales ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Computing deltas without derivatives ⋮ Estimation of stable CARMA models with an application to electricity spot prices ⋮ Pricing electricity forwards under future information on the stochastic mean-reversion level ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies ⋮ Estimation of time-varying autoregressive stochastic volatility models with stable innovations ⋮ Kernel estimation for Lévy driven stochastic convolutions ⋮ Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise ⋮ Well-balanced Lévy driven Ornstein–Uhlenbeck processes ⋮ ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS ⋮ Modelling electricity prices: a time change approach

Cites Work

• Limit theory for the sample covariance and correlation functions of moving averages
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The qq-estimator and heavy tails
• Statistics of Extremes
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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