Add to ORKGThis paper concerns the modelling of electricity spot prices in the Nordic-Baltic market. The paper begins with a description of the market and a summary of stylized facts of electricity spot prices. These characteristics are later on used in the calibration of a mean-reverting jump diffusion model. The work ends with simulations of the model and a discussion about further improvements that can be made
This paper analyses the evolution of electricity prices in deregulated markets. We present a general...
A data driven approach is utilized to model the energy spot prices using mean reverting diffusion pr...
This thesis focuses on the Nordic electricity market, mainly the ability of futures contracts to for...
ABSTRACT This paper presents a mean-reverting jump diffusion model for the electricity spot price an...
This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price and de...
This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives...
In this paper we address the issue of modeling spot electricity prices. After analyzing factors lead...
In this paper we propose a jump-diffusion type model which recovers the main characteristics of elec...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price. We ob...
We propose a mean-reverting electricity spot price model of arithmetic jump-diffusion type yielding ...
In this paper we propose a jump diffusion type model which recovers the main char-acteristics of ele...
Day-ahead spot electricity markets are the most transparent spot markets where one can find integrat...
A method for spot price forecasting in electricity exchange is presented. In the beginning of the pa...
With the liberalization of electricity trading, the electricity market has grown rapidly over the la...
This paper analyses the evolution of electricity prices in deregulated markets. We present a general...
A data driven approach is utilized to model the energy spot prices using mean reverting diffusion pr...
This thesis focuses on the Nordic electricity market, mainly the ability of futures contracts to for...
ABSTRACT This paper presents a mean-reverting jump diffusion model for the electricity spot price an...
This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price and de...
This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives...
In this paper we address the issue of modeling spot electricity prices. After analyzing factors lead...
In this paper we propose a jump-diffusion type model which recovers the main characteristics of elec...
In this paper we present a mean-reverting jump diffusion model for the electricity spot price. We ob...
We propose a mean-reverting electricity spot price model of arithmetic jump-diffusion type yielding ...
In this paper we propose a jump diffusion type model which recovers the main char-acteristics of ele...
Day-ahead spot electricity markets are the most transparent spot markets where one can find integrat...
A method for spot price forecasting in electricity exchange is presented. In the beginning of the pa...
With the liberalization of electricity trading, the electricity market has grown rapidly over the la...
This paper analyses the evolution of electricity prices in deregulated markets. We present a general...
A data driven approach is utilized to model the energy spot prices using mean reverting diffusion pr...
This thesis focuses on the Nordic electricity market, mainly the ability of futures contracts to for...