Stochastic Modeling of Electricity and Related Markets

By Fred Espen Benth, J. Šaltytė Benth, Steen Koekebakker. 2008

476 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/c6173a5aa9a87cd5de60e3577667817aacc47611

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In Electrical and Electronic Engineering

Citations in the corpus

Stochastic Modeling of Wind Derivatives in Energy Markets (2018, methodology): “We then model the wind power production as a Gaussian Ornstein–Uhlenbeck process, hence normally distributed as in Benth et al. (2008), and by means of the Betz law, which links the wind power production with the wind speed via a cubic law, we also model the wind speed, leading to two different…”
Futures pricing in electricity markets based on stable CARMA spot models (2012, methodology): “We refer, for instance, to Lucia and Schwartz [29] and Benth, ˇSaltyt˙e Benth and Koekebakker [3] for more details.”
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (2013, background): “…(Rafał Weron),rodney.wolff@uq.edu.au (Rodney C. Wolff) Preprint submitted to Elsevier June 6, 2012 Electronic copy available at: http://ssrn.com/abstract=2081738 extreme price changes known as spikes or jumps (Benth et al., 2008; Eydeland and Wolyniec, 2012; Huisman, 2009; Weron, 2006).”
Correlation in Energy Markets (2017, methodology): “We remark that it is well-known that, for futures delivering over a period, the volatility will not converge to that of the underlying spot as time to delivery goes to zero (see Benth et al. (2008)).”
An empirical comparison of alternate regime-switching models or electricity spot prices (2010, background): “Despite numerous attempts (for reviews see e.g. Benth et al., 2008; Bunn, 2004; Kaminski, 2004; Weron, 2006), the need for realistic models of price dynamics capturing the unique characteristics of electricity and adequate derivatives pricing techniques still has not been fully satisfied.”
Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, methodology): “In practice, however, one restricts to a parametric class of equivalent probability measures, and the standard choice seems to be given by the Esscher transform, see Benth, Šaltytė Benth and Koekebakker [29], Shiryaev [63].”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “Forward price models are the domain of mathematical finance, and we refer to Benth et al. (2008) and Eydeland and Wolyniec (2003) for extended discussions.”