Understanding the Fine Structure of Electricity Prices

By Helyette Geman, Andrea Roncoroni. 2004

459 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/69ae9599b1ec35284cc3ecd32a14c5880474cd49

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In Economics and Econometrics

In Electrical and Electronic Engineering

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Citations in the corpus

Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008, background): “The case of electricity markets is rather peculiar: Roncoroni (2002) and Geman and Roncoroni (2006) discover the existence of two competing mean reversion e¤ects in most US power markets: one is the traditional smooth reversion to average prices; 3For the purpose of our analysis, we assume interest…”
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007, methodology): “This is motivated by the truncated exponential jump distribution used in Geman and Roncoroni (2006), where they argue that (truncated) exponentially distributed jumps give rise to highly non-normal features in the prices.”
The Nature of Power Spikes: A Regime-Switch Approach (2005, unknown): “Geman and Roncoroni (2006) recently came up with a different solution to move from high to low prices and vice versa.”
The price of power: The valuation of power and weather derivatives (2008, unknown): “Load is powerfully mean reverting; the half-life of a load shock is less than a half-day.”
The dynamics of commodity prices (2013, unknown): “We refer to Geman and Roncoroni (2006) and Nomikos and Andriosopoulos (2012) for modeling approaches including spikes.”
Stochastic modeling of financial electricity contracts (2008, background): “Furthermore, Geman and Roncoroni [23] have suggested a very interesting jump-diffusion model for spot electricity, that perhaps can be applicable also in a term structure model.”
Electricity price modeling with stochastic time change (2017, unknown): “The so-called reduced-form models range from jump-diffusions or Levy-driven diffusions (Geman and Roncoroni [16], Cartea and Figueroa [12], Meyer-Brandis and Tankov [26], Klüppelberg et al.”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “• sinusoidal functions or sums of sinusoidal functions of different frequencies (Benth et al., 2012; Bierbrauer et al., 2007; Cartea and Figueroa, 2005; De Jong, 2006; Geman and Roncoroni, 2006; Seifert and Uhrig-Homburg, 2007; Weron, 2008),”
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007, unknown): “Finally, Geman and Roncoroni (2006) focuses on the modeling of spot prices and apply their model to the PJM, ECAR and COB markets.”