Multi-Factor Jump-Diffusion Models of Electricity Prices

@inproceedings{MeyerBrandis2008MultiFactorJM,
  title={Multi-Factor Jump-Diffusion Models of Electricity Prices},
  author={Thilo Meyer-Brandis and Peter Tankov},
  year={2008}
}
The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of Levy-driven Ornstein–Uhlenbeck (OU) processes. We present a new method for filtering out the different OU… CONTINUE READING

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