Estimating high quantiles for electricity prices by stable linear models

Bernhardt, Christine; Klüppelberg, Claudia; Meyer‐Brandis, Thilo

doi:10.21314/jem.2008.002

Cited by 15 publications

(25 citation statements)

References 13 publications

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“…However, in the theoretical considerations, we stick to the arithmetic model, and leave the analysis of the geometric case to Section 8.1. We note that Bernhardt et al (2008) proposed and argued statistically for an arithmetic spot price model for Singapore electricity data. An arithmetic spot model will naturally lead to an arithmetic dynamics for the forward price.…”

Section: Remarkmentioning

confidence: 95%

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Modelling Electricity Forward Markets by Ambit Fields

2011

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This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the dynamics, but the forward price directly, where we focus on models which are stationary in time. We give a detailed account on the probabilistic properties of the new model and we discuss martingale conditions and change of measure within the new model class. Also, we derive a model for the spot price which is obtained from the forward model through a limiting argument.

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Section: Remarkmentioning

confidence: 95%

“…Such spot models for electricity have been suggested by Bernhardt et al (2008), with the driving noise being an α-stable Lévy process.…”

Section: Constructing a Spot Model From The Forward Modelmentioning

confidence: 99%

Modelling Electricity Forward Markets by Ambit Fields

2011

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“…Another popular class of models is the continuous time autoregressive moving average (CARMA) processes. These have been applied in several studies to power prices, see Bernhard et al [7] and Benth et al [5]. A CARMA(p, q)-process, for p > q being natural numbers, is defined as follows.…”

Section: A Bivariate Volatility Modulated Volterra Process For the Spmentioning

confidence: 99%

“…These processes encompass many of the traditionally used models, like for example simple Gaussian Ornstein-Uhlenbeck processes. Continuous-time autoregressive moving average processes is a special class of LSS processes that has been used succesfully to model power prices (see Bernhard, Klüppelberg and Meyer-Brandis [7]). …”

Section: Introductionmentioning

confidence: 99%

Pricing and Hedging of Energy Spread Options and Volatility Modulated Volterra Processes

Benth

Zdanowicz

2016

Int. J. Theor. Appl. Finan.

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Abstract. We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of power and gas. Volatility modulated Volterra processes are in general not semimartingales, but contain several special cases of interest in energy markets like for example continuous-time autoregressive moving average processes. Based on a change of measure, we obtain a pricing expression based on a univariate Fourier transform of the payoff function and the characteristic function of the price dynamics. Moreover, the spread option price can be expressed in terms of the forward prices on the underlying dynamics assets. We compute a linear system of equations for the quadratic hedge for the spread option in terms of a portfolio of underlying forward contracts.

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“…For example, Bernhardt et al [23] and García et al [39] proposed and argued statistically for an arithmetic spot price model for Singapore electricity data. An arithmetic spot model will naturally lead to arithmetic dynamics for the futures price.…”

Section: T )mentioning

confidence: 99%

Modelling Electricity Futures by Ambit Fields

2014

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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.

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Estimating high quantiles for electricity prices by stable linear models

Cited by 15 publications

References 13 publications

Modelling Electricity Forward Markets by Ambit Fields

Modelling Electricity Forward Markets by Ambit Fields

Pricing and Hedging of Energy Spread Options and Volatility Modulated Volterra Processes

Modelling Electricity Futures by Ambit Fields

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