Constructing Smooth Forward Curves in Electricity 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
Steen Koekebakker: University of Agder, Norway

Chapter 7 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 181-201 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Swap and forward pricesBasic relationshipsA continuous seasonal forward curveMaximum smooth forward curveA smooth forward curve constrained by closing pricesA smooth forward curve constrained by bid and ask spreadsPutting the algorithm to workNord Pool example I: A smooth curveNord Pool example II: Preparing a data set and analysing volatility

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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