Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality

Álvaro Cartea () and Marcelo_Gustavo Figueroa
Additional contact information
Marcelo_Gustavo Figueroa: Birkbeck College, University of London

Finance from EconWPA

Abstract: In this paper we present a mean-reverting jump diffusion model for the electricity spot price. We obtain a closed-form solution for forward contracts and calibrate it to market data from England and Wales. Finally, based on the calibrated forward curve we present months, quarters, and seasons-ahead forward surfaces.

Keywords: Energy derivatives; mean reversion; jump diffusion; electricity spot and forward. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2005-01-21, Revised 2005-09-12
Note: Type of Document - pdf; pages: 28
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0501/0501011.pdf (application/pdf)

Related works:
Working Paper: Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality (2005)
Journal Article: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0501011

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().