Department of Economics and Business Economics

Modelling electricity forward markets by ambit fields

Research output: Working paperResearch

Documents

  • Rp10 41

    Final published version, 309 KB, PDF document

  • School of Economics and Management
This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the dynamics, but the forward price directly, where we focus on models which are stationary in time. We give a detailed account on the probabilistic properties of the new model and we discuss martingale conditions and change of measure within the new model class. Also, we derive a model for the spot price which is obtained from the forward model through a limiting argument.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages33
Publication statusPublished - 2010

    Research areas

  • Electricity markets, forward prices, random fields, ambit fields, stochastic volatility

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 21655739