Titlebook: Quantitative Energy Finance; Modeling, Pricing, a Fred Espen Benth,Valery A. Kholodnyi,Peter Laurenc Book 2014 Springer Science+Business Me

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A Survey of Commodity Markets and Structural Models for Electricity Prices and forward price models. We devote special attention to the most idiosyncratic of all: electricity markets. Following a discussion of traded instruments, market features, historical perspectives, recent developments and various modelling approaches, we focus on the important role of other energy p

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Inference for Markov Regime-Switching Models of Electricity Spot Pricesicity markets. This popularity stems from the models’ relative parsimony and the ability to capture the stylized facts, in particular the mean-reverting character of electricity spot prices, the regime changes implied by fundamentals, and the resulting extreme price spikes. Due to the unobservable s

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Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processesricity delivered over certain time windows on the next day and are determined in a daily auction. Since there are several delivery periods per day, we use a multivariate model to describe the different day-ahead prices for the different delivery periods on the next day. We extend the work by [4] on

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Modelling Power Forward Prices for Positive and Negative Power Spot Prices with Upward and Downward t, and physical assets valuation. In this paper we present and further develop the non-Markovian approach to modelling power spot prices with spikes proposed earlier by the author. In contrast to other approaches, we model power spot prices with spikes as a non-Markovian stochastic process that allo

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