Modelling of the Electricity Futures Market

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway
Steen Koekebakker: University of Agder, Norway

Chapter 8 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 203-235 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Nord Pool market and financial contractsPreparing data setsDescriptive statisticsA market model for electricity futuresPrincipal component analysisPrincipal component analysis of the total data setPrincipal component analysis for individual market segmentsEstimating a parametric multi-factor market modelSeasonal volatilityMaturity volatilitiesNormalised logreturns and heavy tailsFinal remarks

Keywords: Electricity Market; Gas Market; Weather Derivatives; Temperature; Energy Market; Mean Reversion; Ornstein–Uhlenbeck Processes; Jump Processes; Levy Processes; Futures Contracts; Forward Contracts; Options (search for similar items in EconPapers)
Date: 2008
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