Pricing electricity risk by interest rate methods

DOI10.1080/14697680500040876zbMath1118.91312OpenAlexW2087310230MaRDI QIDQ5697336

Lutz von Grafenstein, Michel Verschuere, Juri Hinz, Martina Wilhelm

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1080/14697680500040876

Mathematics Subject Classification ID

Related Items (9)

Risk management of power portfolios and valuation of flexibility ⋮ Valuing virtual production capacities on flow commodities ⋮ Modelling Electricity Futures by Ambit Fields ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES ⋮ Pricing electricity forwards under future information on the stochastic mean-reversion level ⋮ A two-factor model for the electricity forward market ⋮ A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices ⋮ Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework

Cites Work

• Optimal bid strategies for electricity auctions
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Optimizing a portfolio of power-producing plants
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• An equilibrium model for electricity auctions
• Modelling day‐ahead electricity prices
• A revenue-equivalence theorem for electricity auctions
• Changes of numéraire, changes of probability measure and option pricing
• Optimal Offer Construction in Electricity Markets

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