schemes in retail electricity markets. …

In this paper, we present an arithmetic electricity spot price model based on generalized Langevin equations. In this … setup, we investigate electricity forward pricing under future information modeled by initially enlarged filtrations. Hence … anticipative electricity forwards. We finally derive the optimal mean variance hedging portfolio for an electricity market insider …

In this paper, we present an innovative electricity spot price model, wherein the prices explicitly depend on outdoor … temperature. The proposed arithmetic multi-factor approach captures numerous stylized facts of empirical electricity price … temperature variations are modeled by an exogenous stochastic process which is independent of the electricity spot price …

We conduct an empirical analysis of three recently proposed and widely used models for electricity spot price process …-reversion jump-diffusion model, adjusted to incorporate the most important characteristics of electricity prices. The second model … to capture both statistical and pathwise properties of electricity spot prices. The third model, called the factor model …

behaviour of spot electricity prices in wholesale markets. We explicitly model the conditional volatility and skewness of … electricity prices. A GARCH-type model allowing for time-varying volatility and skewness, which is estimated assuming a Gram …

This paper deals with the estimation of continuous time diffusion processes describing the dynamics of electricity spot … characteristics and stylized facts of the electricity market like the spiky behavior of the spot prices. Although jump-diffusion and … making parametric assumption about the drift and the diffusion coefficient functions of the underlying electricity spot …

Spot electricity prices are very volatile, particularly due to the fact that electricity cannot be economically stored … and requires immediate delivery. However, the inability to store electricity means that fluctuations in demand and supply … are often transmitted directly into spot prices of electricity, which leads to occasional extreme price observations, so …