A survey of electricity spot and futures price models for risk management applications

@article{Deschatre2021ASO,
  title={A survey of electricity spot and futures price models for risk management applications},
  author={Thomas Deschatre and Olivier F'eron and Pierre Gruet},
  journal={Energy Economics},
  year={2021},
  volume={102},
  pages={105504}
}
Abstract This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems. 
1 Citations

Figures and Tables from this paper

An analysis of electricity congestion price patterns in North America
  • F. Godin, Zinatu Ibrahim
  • Computer Science
  • 2021
TLDR
Outputs from the PCA along with some data visualization tools are shown to make the identification of the most salient congestion patterns in electricity transmission grids managed by either a Regional Transmission Organization (RTO) or an Independent System Operator (ISO). Expand

References

SHOWING 1-10 OF 210 REFERENCES
A spot market model for pricing derivatives in electricity markets
Abstract In this paper, we analyse the evolution of prices in deregulated electricity markets. We present a general model that simultaneously takes into account the following features: seasonalExpand
Pricing electricity risk by interest rate methods
We address a method for pricing electricity contracts based on the valuation of the ability to produce power, which is considered as the true underlying factor for electricity derivatives. ThisExpand
Valuation and Risk Management in the Norwegian Electricity Market
The purpose of this paper is twofold: Firstly, we analyse the option value approximation of traded options in the presence of a volatility term structure. The options are identified as: (a)Expand
Basics of electricity derivative pricing in competitive markets
This paper studies the application of the available financial theory to the deregulated electricity market. The special characteristics of electricity make the market different from all otherExpand
A Model for Hedging Load and Price Risk in the Texas Electricity Market
Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which isExpand
Electricity Derivatives
In this paper we propose an algorithm for pricing derivatives written on electricity in an incomplete market setting. A discrete time model for price dynamics which embodies the main features ofExpand
Analysis and Modelling of Electricity Futures Prices
We model electricity futures prices using a seasonal forward curve model, quantifying seasonalities by a deterministic seasonal forward premium. Stochastic features of the futures prices areExpand
Stochastic simulation of Brazilian forward energy prices
Energy trading offers great gain opportunities but also exposure to risk due to price volatility. A proper price model is a key element of risk analysis by electricity market traders and represents aExpand
Some non-Gaussian models for electricity spot prices
Electricity spot prices are characterized by important spikes, which cannot be taken into account by Gaussian models. These spikes are essential in risk analysis, especially when we are interested inExpand
A structural risk-neutral model of electricity prices
The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricityExpand
...
1
2
3
4
5
...