Modelling electricity futures prices using seasonal path-dependent volatility

Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana

doi:10.1016/j.apenergy.2016.04.003

Cited by 20 publications

(9 citation statements)

References 29 publications

(27 reference statements)

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“…And a few countries were intending to make liberalization and deregulation in their electricity sector at that time. The brand new competitive power market, together with the special physical attributes of electricity have brought new challenges never seen neither in spot nor in financial markets (Fanelli et al, 2016). Therefore, electricity futures rapidly aroused widespread concern in those countries.…”

Section: The Introduction and Characteristics Of Electricity Futuresmentioning

confidence: 99%

“…However, electricity also has some special properties compared with other commodities. First, electricity is characterized by limited storability, which makes the supply inelastic to the price changes (Fanelli et al, 2016;Bessembinder and Lemmon, 2002). Besides, it also results in some differences in the physical delivery.…”

Section: The Introduction and Characteristics Of Electricity Futuresmentioning

confidence: 99%

See 1 more Smart Citation

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China

Zhang¹,

Farnoosh²

2019

Energy Policy

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Section: The Introduction and Characteristics Of Electricity Futuresmentioning

confidence: 99%

Section: The Introduction and Characteristics Of Electricity Futuresmentioning

confidence: 99%

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China

Zhang¹,

Farnoosh²

2019

Energy Policy

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“…The electricity market, once monopolistic, has become a competitive market where electricity prices are derived by the interaction of supply and demand. This new context, joined with the physical characteristics of electrical power, has generated new price patterns, never seen before, neither in financial markets, nor in commodity markets (Fanelli et al, 2016). Due to the constant evolution of the electricity market environment, the usage of simulation tools has grown with the need for understanding of the electricity pricing and how the involved players' interaction affects the outcomes of the markets (Santos et al, 2015).…”

Section: Accepted Manuscriptmentioning

confidence: 99%

Multi-objective optimization of a simplified factory model acting as a prosumer on the electricity market

Perković

Mikulčić

Duić

2017

Journal of Cleaner Production

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“…New pricing models have been recently developed. As far as the reduced-form models are concerned, a no-arbitrage HeathJarrow-Morton term structure model is applied to forecast electricity prices [4]. The novelty is that the periodic behavior of the prices has been considered.…”

Section: A Electricity Pricesmentioning

confidence: 99%

“…Electricity prices are simulated according to Equation (4). At each i-th iteration, a scenario of a time series is generated.…”

Section: E Simulation Of the I-th Scenario Of Electricity Prices Wamentioning

confidence: 99%

Cash flow at risk of offshore wind plants

Vaienti

Ιωάννου

2017

2017 6th International Conference on Clean Electrical Power (ICCEP)

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Abstract-Offshore wind power plants might be seen as high risk investments. Their risk depends on technical and financial elements. When some corporations decide to invest in a plant, they decide to take all above-mentioned risks. The question "Given a specific investor, a specific plant, etc., how big are the investment risks?" has not a clear answer. In fact, the impact of the previous risk factors on cash flows is not completely quantified, mainly because all the risks are related, but the dependency structure is difficult to be modelled. Hence, it is important to have a measure of the impact of the risks into the cash flows. Due to the lack of knowledge in this quantification, we have decided to investigate it more in the detail. The paper aims to measure the variability of cash flows and how effective are the strategies for locking electricity prices, ship freight rates, or both in the reduction of this variability. We adopt the Monte Carlo approach for simulating all the possible cash flows and for measuring all the uncertainties. The output shows that seasonal and uncertain cash flows. The strategies, for reducing the probability of negative cash flows, work only with locked electricity prices.Keywords-cash flow at risk; offshore wind energy.

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Modelling electricity futures prices using seasonal path-dependent volatility

Cited by 20 publications

References 29 publications

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China

Multi-objective optimization of a simplified factory model acting as a prosumer on the electricity market

Cash flow at risk of offshore wind plants

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