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

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2005-12
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Taylor & Francis
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Abstract
This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives (he corresponding forward price in closed-form. Based on historical spot data and forward data from England and Wales the model is calibrated and months, quarters, and seasons-ahead forward surfaces are presented
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Energy derivatives, Electricity, Forward curve, Forward surfaces
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Applied mathematical finance, 2005, v. 12, n. 4, pp. 313-335