A spot market model for pricing derivatives in electricity markets

By Markus Burger, Bernhard Klar, Alfred Müller, G. Schindlmayr. 2004

234 citations recorded by the source corpus.

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Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, unknown): “[38], Burger, Graeber and Schindlmayr [37].”
Optimization of Electricity Retailer's Contract Portfolio Subject to Risk Preferences (2010, methodology): “process [14], [15] construct their scenario trees using Monte”
The role of smart metering and decentralized electricity storage for smart grids: The importance of positive externalities (2012, background): “According to the European Energy Exchange, the delivery times of peak loads are Monday to Friday between 8:00 am and 8:00 pm (Burger et al., 2006).”
Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets (2016, background): “…extensive research on electricity derivatives and risk management (e.g., Deng et al., 2001; Lucia and Schwartz, 2002; Eydeland and Wolyniec, 2003; Burger et al., 2004; Kleindorfer and Li, 2005; Deng and Oren, 2006; Deng and Xia, 2006; Woo et al., 2004a, 2004b, 2006; Huisman et al., 2009; Camona…”
Stochastic modeling of financial electricity contracts (2008, background): “[11], Cartea and Figueroa [12], Elliott, Sick and Stein [17], Kaaresen and Husby [32] and Vehviläinen and Pyykkönnen [56].”