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Author : Iva Mihaylova
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (73 download)
Download or read book Stochastic Dependencies of Spot Prices in the European Electricity Markets written by Iva Mihaylova and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 9812812318
Total Pages : 352 pages
Book Rating : 4.8/5 (128 download)
Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.
Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 9814471313
Total Pages : 352 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Modeling Of Electricity And Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008-04-14 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Author : Per Bjarte Solibakke
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)
Download or read book Stochastic Volatility Models for the European Electricity Markets written by Per Bjarte Solibakke and published by . This book was released on 2014 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds and implements a multifactor stochastic volatility model for the latent (and observable) volatility from the quarter and year forward contracts at the NASDAQ OMX Commodity Exchanges, applying Bayesian Markov chain Monte Carlo simulation methodologies for estimation, inference, and model adequacy assessment. Stochastic volatility is the main way time-varying volatility is modelled in financial markets. An appropriate scientific model description, specifying volatility as having its own stochastic process, broadens the applications into derivative pricing purposes, risk assessment and asset allocation and portfolio management. From an estimated optimal and appropriate stochastic volatility model, the paper reports risk and portfolio measures, extracts conditional one-step-ahead moments (smoothing), forecast one-step-ahead conditional volatility (filtering), evaluates shocks from conditional variance functions, analyses multi-step-ahead dynamics, and calculates conditional persistence measures. (Exotic) option prices can be calculated using the re-projected conditional volatility. Observed market prices and implied volatilities establish market risk premiums. The analysis adds insight and enables forecasts to be made, building up the methodology for developing valid scientific commodity market models.
Author : Yumei Ning
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.E/5 ( download)
Download or read book Modeling Spot Markets for Electricity and Pricing Electricity Derivatives written by Yumei Ning and published by . This book was released on 2001 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jiechen Tang
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Modeling Dependence Between European Electricity Markets written by Jiechen Tang and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine various behaviors of both base and peak spot returns in the European electricity markets and how European electricity markets integrate; we do so by employing an ARIMA-GARCH model, several static copulas, and the dynamic Student-t copula. We find positive dependence among the European electricity markets. Second, most of pairs among European electricity markets co-move symmetrically. Third, The dependence is stronger for the peak than for the base returns. We also detect tail dependence and extreme co-movement for most of the European electricity markets. In addition, we find that the tail dependence and extreme co-movement are higher for markets in France, Germany, and the Netherlands and lower for the Spanish and British markets. Last, we find that the dependence varies over time but does not appear to grow over time in most of the pairs of the markets. Our findings provide useful information for integration, risk management, and asset pricing for the European electricity markets.
Author : Reza Arghandeh
Publisher : Elsevier
ISBN 13 : 0128119691
Total Pages : 482 pages
Book Rating : 4.1/5 (281 download)
Download or read book Big Data Application in Power Systems written by Reza Arghandeh and published by Elsevier. This book was released on 2017-11-27 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Big Data Application in Power Systems brings together experts from academia, industry and regulatory agencies who share their understanding and discuss the big data analytics applications for power systems diagnostics, operation and control. Recent developments in monitoring systems and sensor networks dramatically increase the variety, volume and velocity of measurement data in electricity transmission and distribution level. The book focuses on rapidly modernizing monitoring systems, measurement data availability, big data handling and machine learning approaches to process high dimensional, heterogeneous and spatiotemporal data. The book chapters discuss challenges, opportunities, success stories and pathways for utilizing big data value in smart grids. Provides expert analysis of the latest developments by global authorities Contains detailed references for further reading and extended research Provides additional cross-disciplinary lessons learned from broad disciplines such as statistics, computer science and bioinformatics Focuses on rapidly modernizing monitoring systems, measurement data availability, big data handling and machine learning approaches to process high dimensional, heterogeneous and spatiotemporal data
Author : Thomas Deschatre
Publisher :
ISBN 13 :
Total Pages : 213 pages
Book Rating : 4.:/5 (12 download)
Download or read book Dependence Modeling Between Continuous Time Stochastic Processes written by Thomas Deschatre and published by . This book was released on 2017 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we study some dependence modeling problems between continuous time stochastic processes. These results are applied to the modeling and risk management of electricity markets. In a first part, we propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. We show that the class of admissible copulae for the Brownian motions contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right tail than in the Gaussian copula case. Results are applied to the joint modeling of electricity and other energy commodity prices. In a second part, we consider a stochastic process which is a sum of a continuous semimartingale and a mean reverting compound Poisson process and which is discretely observed. An estimation procedure is proposed for the mean reversion parameter of the Poisson process in a high frequency framework with finite time horizon, assuming this parameter is large. Results are applied to the modeling of the spikes in electricity prices time series. In a third part, we consider a doubly stochastic Poisson process with stochastic intensity function of a continuous semimartingale. A local polynomial estimator is considered in order to infer the intensity function and a method is given to select the optimal bandwidth. An oracle inequality is derived. Furthermore, a test is proposed in order to determine if the intensity function belongs to some parametrical family. Using these results, we model the dependence between the intensity of electricity spikes and exogenous factors such as the wind production.
Author : Ole E. Barndorff-Nielsen
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book Modelling Energy Spot Prices by Volatility Modulated Lévy-Driven Volterra Processes written by Ole E. Barndorff-Nielsen and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot prices can be modelled directly in stationarity. Second, stochastic volatility is regarded as a key factor for modelling energy spot prices. Third, the model allows for the possibility of jumps and extreme spikes and, lastly, it features great flexibility in terms of modelling the autocorrelation structure and the Samuelson effect. We provide a detailed analysis of the probabilistic properties of VMLV processes and show how they can capture many stylised facts of energy markets. Further, we derive forward prices based on our new spot price models and discuss option pricing. An empirical example based on electricity spot prices from the European Energy Exchange confirms the practical relevance of our new modelling framework.
Author : Klaus Gugler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (953 download)
Download or read book Integration and Efficiency of European Electricity Markets written by Klaus Gugler and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Blonczewski
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (971 download)
Download or read book European Financial Market Dependence in a Dynamic Stochastic Copula Framework written by Christian Blonczewski and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Stochastic Price Generation for Evaluating Wholesale Electricity Market Bidding Strategies written by and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a novel method for generating electricity price scenarios from statistical properties of past electricity prices using a hybrid statistical and reduced-form stochastic model. Previous work in applying stochastic differential equations (SDE) to model electricity prices has focused on daily average prices. To extend stochastic price generation methods to hourly or sub-hourly pricing, we address several weaknesses in the state-of-the-art: (1) we replace the mean-reversion component of the SDE with an ARIMA process that is better able to characterize the daily and weekly trends; (2) we extend the price-spike, or jump process to account for conditional probabilities of price spikes occurring in consecutive time steps by replacing the traditional Poisson process for modeling jumps with a generalized point process model inspired by brain neuron models; and (3) we replace the traditional method of estimating spike intensity with empirical variance with a Markov process based on observed price spike intensity transitions. The method is demonstrated with electricity prices from the US ERCOT market and a use-case example is provided for bidding an energy storage unit into the day-ahead and real-time energy markets of ERCOT using stochastic optimization methods. Results show that the the synthetic price model out performs a (naive) persistence forecast model by resulting in 24% to 47% more in profits over 168 simulated days.
Author : C. Andrea Bollino
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Integration and Convergence in European Electricity Markets written by C. Andrea Bollino and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we investigate wholesale electricity prices integration process in the main European markets. After reforms introduced in the last decades in Europe, wholesale electricity prices are now determined in regulated markets. However, while market institutional frameworks show several similarities, there are still differences in fuel mix, generation units technologies, market structure. Using multivariate cointegration techniques we test integration dynamics within four European markets (Austria, Germany, France and Italy) for which we have collected a novel dataset of spot prices from 2004 to 2010. We provide evidence that German market constitutes a common stochastic trend driving the long-run behavior of other markets. Our results are robust to causality test, to Granger causality test, to oil price relevance test and provide additional evidence to assess the efficient market hypothesis in European electricity markets.
Author : Fred Espen Benth
Publisher : Springer
ISBN 13 : 3319004131
Total Pages : 326 pages
Book Rating : 4.3/5 (19 download)
Download or read book Paris-Princeton Lectures on Mathematical Finance 2013 written by Fred Espen Benth and published by Springer. This book was released on 2013-07-11 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Author : Fred Espen Benth
Publisher : Springer Nature
ISBN 13 : 3031403673
Total Pages : 250 pages
Book Rating : 4.0/5 (314 download)
Download or read book Stochastic Models for Prices Dynamics in Energy and Commodity Markets written by Fred Espen Benth and published by Springer Nature. This book was released on 2023-11-16 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.
Author : Anatoliy Swishchuk
Publisher : World Scientific
ISBN 13 : 9814440140
Total Pages : 326 pages
Book Rating : 4.8/5 (144 download)
Download or read book Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities written by Anatoliy Swishchuk and published by World Scientific. This book was released on 2013-06-03 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.
Author : Ole E. Barndorff-Nielsen
Publisher : Springer
ISBN 13 : 3319941291
Total Pages : 402 pages
Book Rating : 4.3/5 (199 download)
Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen and published by Springer. This book was released on 2018-11-01 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.
