A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

By Fred Espen Benth, Jan Kallsen, T. Meyer‐Brandis. 2007

257 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/a79177fd0e83078a33d318abfb0d874615618792

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Citations in the corpus

Pricing Forward Contracts in Power Markets By the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium (2008, methodology): “First we estimate the physical parameters of a two-factor model.”
Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, methodology): “The literature on spot price modelling suggest to use semi-heavy and, in some cases, even heavy-tailed distributions in order to account for the extreme spikes in electricity spot prices, see, for example, Klüppelberg, Meyer-Brandis and Schmidt [53] and Benth et al. [25] who suggested to use the st”
Stochastic modeling of financial electricity contracts (2008, background): “Benth, Kallsen and Meyer-Brandis [5] suggest an additive mean-reverting model with jumps, where the jumps are so that the spot prices remain positive.”
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (2008, methodology): “In Benth, Kallsen and Meyer-Brandis [3], the deseasonalized spot price is a sum of independent L´evy-driven Ornstein-Uhlenbeck components: and processes L i ( t ) are independent, possibly time inhomogeneous L´evy processes with E [ L 2 i (1)] ∞ .”
Electricity spot price modelling with a view towards extreme spike risk (2010, methodology): “The spot price model we consider in this paper is the multifactor model introduced by Benth et al. (2007).”
Futures pricing in electricity markets based on stable CARMA spot models (2012, background): “For example, Benth, Kallsen and Meyer-Brandis [2] suggest an arithmetic spot model where normal and spike variations in the prices are separated into diﬀerent factors driven by pure-jump processes.”