A note on arbitrage‐free pricing of forward contracts in energy markets

By Fred Espen Benth, Lars Ekeland, R. Hauge, B. F. Nielsen. 2003

64 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005, methodology): “A similar model to the one we present, although not specific to the analysis of electricity spot prices, has be en analysed in Benth et al. (2003). The main contribution of this paper is twofold.”
Stochastic modeling of financial electricity contracts (2008, background): “[4] consider a general exponential multifactor mean-reversion model with jumps and calculate explicitly fixed-delivery forward prices from this.”
Optimization of Electricity Retailer's Contract Portfolio Subject to Risk Preferences (2010, unknown): “forward prices [17]–[21].”
Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005, background): “Also, in the long run it is questionable whether there will be a steady increase in temperature given by a linear trend.”