Introduction to Price Models for Energy

Rita L. D’Ecclesia ()
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Rita L. D’Ecclesia: Sapienza University of Rome

Chapter Chapter 2 in Handbook of Risk Management in Energy Production and Trading, 2013, pp 25-45 from Springer

Abstract: Abstract The goal of this chapter is to present models which describe the dynamics of energy commodity spot prices and their forward curves. Recent developments in energy markets together with the use of new technologies caused changes in the dynamics of spot prices and there is a growing need to understand it. Given the spot price of an exchange-traded commodity we assume the forward curve, with a large set of liquid maturities is available. The forward curve provides information about the market perception of future spot prices and can be easily used to describe energy price behavior. In this chapter specific models which show to be suitable to capture the properties of energy prices are described.

Keywords: Stochastic Differential Equation; Energy Price; Stochastic Volatility; Commodity Price; Geometric Brownian Motion (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4614-9035-7_2

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DOI: 10.1007/978-1-4614-9035-7_2

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