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Modelling electricity prices with forward looking capacity constraints

Cartea, Álvaro; Figueroa, Marcelo G.; Geman, Hélyette - In: Applied mathematical finance 16 (2009) 1/2, pp. 103-122

Persistent link: https://www.econbiz.de/10003847150

Analysis and modeling of electricity futures prices

Borovkova, Svetlana (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10003559089

Modelling electricity prices with forward looking capacity constraints

Cartea, Álvaro (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003631050

A lattice-based method for pricing electricity derivatives under the threshold model

Geman, Hélyette; Kourouvakalis, Stelios - In: Applied mathematical finance 15 (2008) 5/6, pp. 531-567

Persistent link: https://www.econbiz.de/10003815257

Modelling Electricity Prices with Forward Looking Capacity Constraints

Cartea, Álvaro - 2013

We present a spot price model for wholesale electricity prices which incorporates forward looking information that is available to all market players. We focus on information that measures the extent to which the capacity of the England and Wales generation park will be constrained over the next...

Persistent link: https://www.econbiz.de/10012711253