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

Álvaro Cartea () and Marcelo Gustavo Figueroa
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Marcelo Gustavo Figueroa: Department of Economics, Mathematics & Statistics, Birkbeck

No 507, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

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.

Date: 2005-03
New Economics Papers: this item is included in nep-ene and nep-fin
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Citations: View citations in EconPapers (214)

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https://eprints.bbk.ac.uk/id/eprint/27034 First version, 2005 (application/pdf)

Related works:
Journal Article: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)
Working Paper: Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality (2005)
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