A survey of electricity spot and futures price models for risk management applications

被引：12
作者：
Deschatre, Thomas
Feron, Olivier [1 ]
Gruet, Pierre
机构：
[1] EDF Lab Paris Saclay, F-91120 Palaiseau, France
来源：
ENERGY ECONOMICS | 2021年 / 102卷
关键词：
Electricity price modeling; Electricity markets; Risk management; EUROPEAN CONTINGENT CLAIMS; JUMP-DIFFUSION-MODEL; ENERGY MARKETS; STOCHASTIC VOLATILITY; MULTIFACTOR MODEL; TERM STRUCTURE; SWING OPTIONS; NEUTRAL MODEL; POWER; VALUATION;
D O I：
10.1016/j.eneco.2021.105504
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.
引用
收藏
页数：23
相关论文
共 192 条
  • [1] Aid R, 2015, ELECT DERIVATIVES SP
  • [2] Aid R., 2019, FINANCIAL MATH VOLAT, V2, P170
  • [3] A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
    Aid, Rene
    Campi, Luciano
    Langrene, Nicolas
    [J]. MATHEMATICAL FINANCE, 2013, 23 (03) : 387 - 438
  • [4] A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
    Aid, Rene
    Campi, Luciano
    Huu, Adrien Nguyen
    Touzi, Nizar
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (07) : 925 - 947
  • [5] Structural price model for coupled electricity markets
    Alasseur, C.
    Feron, O.
    [J]. ENERGY ECONOMICS, 2018, 75 : 104 - 119
  • [6] Stochastic simulation of Brazilian forward energy prices
    Amadeu, Jefferson R.
    Barbosa, Paulo S. F.
    [J]. ENERGY SYSTEMS-OPTIMIZATION MODELING SIMULATION AND ECONOMIC ASPECTS, 2022, 13 (02): : 321 - 333
  • [7] [Anonymous], 2014, Quantitative Energy Finance, DOI [DOI 10.1007/978-1-4614-7248-3_2, DOI 10.1007/978-1-4614-7248-3], Patent No. 012014
  • [8] [Anonymous], 2002, Applied Mathematical Finance
  • [9] [Anonymous], 2009, J. Energy Markets, DOI DOI 10.21314/JEM.2009.032
  • [10] [Anonymous], 1991, Applied stochastic analysis
12345678910