A DIFFUSION MODEL FOR ELECTRICITY PRICES

By M. T. Barlow. 2002

310 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/d3b561b07d8a109c6d65066aa7b4d2c1c7b599e6

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In Electrical and Electronic Engineering

Citations in the corpus

Electricity derivatives and risk management (2006, background): “as mean-reversion [11,34,35], jump-diffusion [2,3,36], and other diffusion models [37,38].”
An empirical comparison of alternate regime-switching models or electricity spot prices (2010, methodology): “For 2000-2003 EEX market data they found it inferior to MRS models with normal or log-normal spikes, but much better than the non-linear mean-reverting model of Barlow (2002) or the MRJD model of Kluge (2006) with two different mean-reversion rates for the normal and the jump parts.”
Spot and Derivative Pricing in the EEX Power Market (2007, methodology): “(2)), the non-linear OU model of Barlow (2002) as specified in Eq.”
Electricity price forecasting using sale and purchase curves: The X-Model (2015, background): “…and Coulon (2009), Carmona et al. (2013)) 2 , they use simpliﬁca-tions or modulations which skip the important correlation structure between bids (e.g. Buzoianu et al. (2005), Coulon et al. (2014)) or they are not properly adjusted for forecasting real electricity prices (e.g. Barlow (2002)).”
Time-changed CIR default intensities with two-sided mean-reverting jumps (2014, unknown): “The Annals of Applied Probability 2014, Vol. 24, No. 2, 811–856 DOI: 10.1214/13-AAP936 © Institute of Mathematical Statistics, 2014”
A spot market model for pricing derivatives in electricity markets (2004, unknown): “A similar model for spot prices has recently been considered in [1], where the relation”
Understanding the Fine Structure of Electricity Prices (2004, unknown): “Some initial papers on the modeling of power price processes include Deng (1999), Bhanot (2000), Knittel and Roberts (2001), Pirrong (2001), Barlow (2002), Barone-Adesi and Gigli (2002), Escribano, Peña, and Villaplana (2002), and Lucia and Schwartz (2002). We extend this literature by proposing a f”
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (2013, methodology): “On the other hand, by making certain assumptions about the functional form of the supply and demand curve, Barlow (2002) derives a non-linear Ornstein-Uhlenbeck process as appropriate model for electricity prices.”
Stochastic modeling of financial electricity contracts (2008, background): “Barlow [2] suggest a microeconomic based equilibrium diffusion model.”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “The subclass of much simpler structural models can be traced back to Barlow (2002). Starting from an empirical analysis ofmarket supply anddemand curves, he builds the spot price process by applying the inverse of the Box–Cox transformation (which includes an exponential function as a special case) ”
Option Pricing: Valuation Models and Applications (2004, unknown): “Variance reduction techniques based on moment matching are presented and analyzed in Barraquand (1995), Duan and Simonato (1998), and Duan et al.”
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (2008, methodology): “In structural or equilibrium models [1, 11], one tries to mimic the price formation in electricity market as a balance of supply and demand.”