Pricing in electricity markets : a mean reverting jump diffusion model with seasonality

Publication:
Pricing in electricity markets : a mean reverting jump diffusion model with seasonality

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Cartea, Álvaro
dc.contributor.author	Figueroa, Marcelo G.
dc.date.accessioned	2011-09-21T13:54:10Z
dc.date.available	2011-09-21T13:54:10Z
dc.date.issued	2005-09-02
dc.description.abstract	In this paper we present a mean-reverting jump diffusion model for the electricity spot price and derive the corresponding forward in closed-form. Based on historical spot data and forward data from England and Wales we calibrate the model and present months, quarters, and seasons–ahead forward surfaces
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/12137
dc.language.iso	eng
dc.relation.hasversion	http://hdl.handle.net/10016/12199
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Empresa
dc.subject.other	Energy derivatives
dc.subject.other	Electricity
dc.subject.other	Forward curve
dc.subject.other	Forward surfaces
dc.title	Pricing in electricity markets : a mean reverting jump diffusion model with seasonality
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication