Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

By J. Lucia, Eduardo S. Schwartz. 2000

1,071 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/daef27de870767bd5b1b804db6df421a8c7623f8

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Citations in the corpus

Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, neutral): “…the stochastic component of the price process. http://www.bepress.com/snde/vol10/iss3/art2 For the deterministic, seasonal component f(t) both sinusoidal (Pilipovic, 1997) and constant piece-wise functions (Lucia and Schwartz, 2002, Knittel and Roberts, 2005) have been suggested in the literature.”
The impact of wind power generation on the electricity price in Germany (2014, methodology): “Finally, the logarithmic electricity price is calculated and employed in the (10)Seasonal effects could also be addressed by trigonometric components (Lucia and Schwartz, 2002; Bierbrauer et al., 2007).”
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005, methodology): “This class of jump-diffusion models was first introduced by Merton to model equity dynamics, [ 13 ].”
The Nature of Power Spikes: A Regime-Switch Approach (2005, neutral): “2.1 Mean-reverting and stochastic jump models A standard mean-reverting specification (Lucia and Schwartz, 2002) is relatively successful in modeling commodities such as oil and gas3, but not in modeling electricity, due to the presence of spikes.”
Stochastic modeling of financial electricity contracts (2008, methodology): “From (6.2) we propose a one factor ”Schwartz” swap model (6.4) Σ(t, T1, T2) = aφ(T1, T2), where (6.5) φ(T1, T2) = e−b(T1−t) − e−b(T2−t) b (T2 − T1) .”
Constructing forward price curves in electricity markets (2003, background): “stochastic convenience yield and stochastic interest rates (Schwartz, 1997). Lucia and Schwartz (2002) study both”
Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem (2012, methodology): “Mean reverting processes have also been used in modeling prices for oil, electricity, copper, and other minerals (see Cortazar and Schwartz (1994), Dixit and Pindyck (1994), Pilipovic (2007), Smith and McCardle (1998) and Lucia and Schwartz (2002) for example).”
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (2006, background): “6 See Bhanot (2000) and Lucia and Schwartz (2002) for sample applications of this method.”
Futures pricing in electricity markets based on stable CARMA spot models (2012, methodology): “This two-factor model is applied to electricity prices by Lucia and Schwartz [28].”
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market (2004, methodology): “The jump component is estimated from the logarithm of the deseasonalized, with respect to the weekly and annual cycles, prices dt = log(pt − st − St) through a two-step procedure.”
A spot market model for pricing derivatives in electricity markets (2004, neutral): “…to assume a zero market price of risk for certain (non-hedgeable) short-term risk factors, such as jumps ([8], [9]) or to calibrate (cid:12)rst with respect to the statistical measure using spot price data and then to imply a risk premium or risk-neutral drift from the futures market ([8], [26]).”