ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Forthcoming Articles       Volume 12 Issue 4       Subscribe       Article       References       Cited By       Related articles      
firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality 

Authors: Aacutelvaro Cartea a; Marcelo G. Figueroa a
Affiliation:   a Birkbeck College, University of London, London WC1E 7HX, UK,
DOI: 10.1080/13504860500117503
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 12, Issue 4 December 2005 , pages 313 - 335
Formats available: HTML (English) : PDF (English)
Article Requests: Order Reprints : Request Permissions


Abstract

This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives the corresponding forward price in closed-form. Based on historical spot data and forward data from England and Wales the model is calibrated and months, quarters, and seasons-ahead forward surfaces are presented.
Keywords: Energy derivatives; electricity; forward curve; forward surfaces
view references (18) : view citations
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2009 Informa plc