Constructing forward price curves in electricity markets

By Stein-Erik Fleten, J. Lemming. 2003

121 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/31eb3eaee228ceddf3c137285b322b242ec9290d

How researchers see this paper

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

In Electrical and Electronic Engineering

1. Rafal Weron
2. Fred Espen Benth
3. Steen Koekebakker
4. Florian Ziel
5. Nina Lange
6. Jakub Nowotarski
7. Bartosz Uniejewski
8. Grzegorz Marcjasz

In Finance

1. Steen Koekebakker
2. Rafal Weron
3. Fred Espen Benth
4. Ladislav Kristoufek
5. Nina Lange
6. J. Šaltytė Benth
7. J. Saltyte-Benth
8. Stefan Trück

Citations in the corpus

• Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, background): “As Borak and Weron (2008) and Fleten and Lemming (2003) show, constructing smooth forward price curves in electricity markets can be a tedious and challenging exercise; however, the benefits of doing it are the readily available medium-term price forecasts for multiple horizons.”
• Stochastic modeling of financial electricity contracts (2008, methodology): “We note in passing that this is only one of many different ways to produce a forward curve from actual prices, and we refer to Fleten and Lemming [20] for an alternative approach.”
• Option value of electricity demand response (2005, background): “(2001) and Hsu (1998) show that a generating asset can be viewed as a strip of natural gas/electricity spread options.”