Department of Economics and Business Economics

Modelling energy spot prices by Lévy semistationary processes

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  • School of Economics and Management
This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary
processes. Lévy semistationary processes are special cases of the general class of
ambit processes. We provide a detailed analysis of the probabilistic properties of such models
and we show how they are able to capture many of the stylised facts observed in energy markets.
Furthermore, we derive forward prices based on our spot price model. As it turns out, many of
the classical spot models can be embedded into our novel modelling framework.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages28
Publication statusPublished - 2010

    Research areas

  • Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price

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