A survey of electricity spot and futures price models for risk management applications

Thomas Deschatre, Olivier Féron and Pierre Gruet

Energy Economics, 2021, vol. 102, issue C

Abstract: This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.

Keywords: Electricity price modeling; Electricity markets; Risk management (search for similar items in EconPapers)
JEL-codes: C02 C32 C38 C50 Q40 Q41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881

DOI: 10.1016/j.eneco.2021.105504

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