Stochastic Modeling of Electricity and Related Markets

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

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.

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
ISBN: 9789812812308
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (70)

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Chapters in this book:

Ch 1 A Survey of Electricity and Related Markets , pp 1-35

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 2 Stochastic Analysis for Independent Increment Processes , pp 37-57

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 3 Stochastic Models for the Energy Spot Price Dynamics , pp 59-88

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 4 Pricing of Forwards and Swaps Based on the Spot Price , pp 89-127

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 5 Applications to the Gas Markets , pp 129-153

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 6 Modelling Forwards and Swaps Using the Heath-Jarrow-Morton Approach , pp 155-180

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 7 Constructing Smooth Forward Curves in Electricity Markets , pp 181-201

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 8 Modelling of the Electricity Futures Market , pp 203-235

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 9 Pricing and Hedging of Energy Options , pp 237-275

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

Ch 10 Analysis of Temperature Derivatives , pp 277-318

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker

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