Stochastic modeling of financial electricity contracts

By Fred Espen Benth, Steen Koekebakker. 2008

185 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/c5441e8eb997f1a48846f0aa50115534cd6b7752

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. T. Ho
2. Brendan Schneiderman
3. Dick Van Dijk
4. Chi-Keung Woo
5. Nate Toyama
6. K. Chawla
7. Jack Moore
8. Jay Zarnikau

In Finance

1. Dick Van Dijk
2. Nina Lange
3. Eran Raviv
4. Kees E. Bouwman
5. Andrew J. Patton

Citations in the corpus

• Correlation in Energy Markets (2017, methodology): “The log-normal framework encompasses models like Schwartz and Smith (2000), Sørensen (2002) or the multi-factor model first introduced by Clewlow and Strickland (1999) and further analysed in Benth and Koekebakker (2008).”
• Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets (2016, background): “…and Wang, 2004; Knittel and Roberts, 2005; Park et al., 2006; Haldrup and Nielsen, 2006; Mount et al., 2006; Weron, 2006; Guthrie and Videbeck, 2007; Benth and Koekebakker, 2008; Karakatsani and Bunn, 2008; Redl et al., 2009; Marckhoff and Wimschulte, 2009; Janczura and Weron, 2010; Douglas and…”
• Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices (2013, background): “The unique features of electricity prices (and related nancial contracts) have spurred the demand for econometric models that can adequately describe their dynamics, see Benth and Koekebakker (2008) and Möst and Keles (2010) for surveys.”