Forward curve dynamics in the Nordic electricity market

By Steen Koekebakker, Fridthjof Ollmar. 2005

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Hedging quantity risks with standard power options in a competitive wholesale electricity market (2006, background): “Note that when we can assume P ≡ Q in the electricity market, which was empirically justified in [1, 19] for the Nordic electricity forward market, the optimal payoff function under the mean-variance utility becomes”
A spot market model for pricing derivatives in electricity markets (2004, unknown): “Ideas from the Heath-Jarrow-Morton theory for interest rates ([17]) are used in [6], [7], [23] and [27] to model the dynamics of the whole futures price curve.”
Stochastic modeling of financial electricity contracts (2008, background): “[9], Koekebakker and Ollmar [38] and Keppo et al.”
Stochastic factor model for electricity spot price - the case of the Nordic market (2005, background): “Koekebakker and Ollmar (2001) showed that there are no simple factors that could comprehensively explain the electricity price movements, at least not in the Nordic markets.”
The Nature of Power Spikes: A Regime-Switch Approach (2005, unknown): “This has earlier been suggested in Kosater and Mosler (2006). It indeed works well in a number of markets and models, and may be a worthwhile extension.”