Modeling power forward prices for power with spikes: a non-Markovian approach

DOI10.1016/J.NA.2005.03.023zbMath1153.91716OpenAlexW1987873412MaRDI QIDQ999484

Valery A. Kholodnyi

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.03.023

zbMATH Keywords

non-Markovian process for power spot prices with spikespower forward prices for power with spikes

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (7)

Efficient estimation of Markov regime-switching models: an application to electricity spot prices ⋮ Optimal electricity generation portfolios. The impact of price spread modelling ⋮ Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach ⋮ Fluctuations of interface statistical physics models applied to a stock market model ⋮ Universal contingent claims and valuation multiplicative measures with examples and applications ⋮ Research of financial early-warning model on evolutionary support vector machines based on genetic algorithms ⋮ The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes

Cites Work

• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach

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