MODELLING ELECTRICITY FUTURES BY AMBIT FIELDS

被引：27
作者：
Barndorff-Nielsen, Ole E. [1 ,2 ]
Benth, Fred Espen [3 ]
Veraart, Almut E. D. [4 ]
机构：
[1] Aarhus Univ, Dept Math, Thiele Ctr, DK-8000 Aarhus C, Denmark
[2] Aarhus Univ, CREATES, DK-8000 Aarhus C, Denmark
[3] Univ Oslo, Ctr Math Applicat, N-0316 Oslo, Norway
[4] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England
来源：
ADVANCES IN APPLIED PROBABILITY | 2014年 / 46卷 / 03期
基金：
新加坡国家研究基金会;
关键词：
Electricity market; futures price; random field; ambit field; Levy base; Samuelson effect; stochastic volatility; TERM STRUCTURE; INTEREST-RATES; DYNAMICS; RISK; PRICES; CURVE;
D O I：
10.1239/aap/1409319557
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly analytically tractable. We discuss martingale conditions, option pricing, and change of measure within the new model class. Also, we study the corresponding model for the spot price, which is implied by the new futures model, and show that, under certain regularity conditions, the implied spot price can be represented in law as a volatility modulated Volterra process.
引用
收藏
页码：719 / 745
页数：27
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