Stochastic Modeling Of Electricity And Related Markets

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Stochastic Modelling Of Electricity And Related Markets

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Author : Fred Espen Benth
language : en
Publisher: World Scientific
Release Date : 2008

Stochastic Modelling Of Electricity And Related Markets written by Fred Espen Benth and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Technology & Engineering categories.

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.

Stochastic Modeling Of Electricity And Related Markets

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Author : Fred Espen Benth
language : en
Publisher: World Scientific
Release Date : 2008-04-14

Stochastic Modeling Of Electricity And Related Markets written by Fred Espen Benth and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-14 with Business & Economics categories.

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Stochastic Modelling And Pricing Of Electricity And Related Markets Contracts With Local Stochastic Delayed And Jumped Volatilities

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Author : Anatoliy V. Swishchuk
language : en
Publisher:
Release Date : 2010

Stochastic Modelling And Pricing Of Electricity And Related Markets Contracts With Local Stochastic Delayed And Jumped Volatilities written by Anatoliy V. Swishchuk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

In this paper we study stochastic models for electricity, gas and temperature markets' contracts with delay and jumps. The basic products in these markets are spot, futures and forward contracts, swaps and options written on these. We concentrate our study on pricing of these kind of contracts. We also study optimal control of stochastic differential delay equations (SDDEs) with jumps and its applications in energy markets and economics.

Essays On Stochastic Modeling In Electricity Markets

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Author :
language : da
Publisher:
Release Date : 2023

Essays On Stochastic Modeling In Electricity Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.

Stochastic Modeling Of Intraday Electricity Markets

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Author : Cassandra Milbradt
language : en
Publisher:
Release Date : 2023*

Stochastic Modeling Of Intraday Electricity Markets written by Cassandra Milbradt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023* with categories.

Englische Version: Limit order books are the standard instrument for price formation in modern financial markets. While electricity has traditionally been traded through auctions, there are intraday electricity markets, such as the SIDC market, in which buyers and sellers meet via limit order books. In this thesis, stochastic models of limit order books are developed based on the underlying market microstructure. A particular focus is set on incorporating unique characteristics of intraday electricity markets, some of which are quite different from those of financial markets. The developed models in this thesis start with a realistic and microscopic description of the market dynamics. Large price changes over short time periods are considered, as well as limited cross-border activities. These microscopic models are generally computationally too intensive for practical applications. The main goal of this thesis is therefore to derive suitable approximations of these microscopic models by so-called scaling limits. For this purpose, appropriate scaling assumptions are carefully formulated and incorporated into the microscopic models which allow us to study their high-frequency behavior when the size of an individual order converges to zero while the order arrival rate tends to infinity. Calibration of mathematical models is one of the main concerns from a practitioner's point of view. It is well known that change points (abrupt variations) are present in high-frequency financial data. If they are caused by endogenous effects, the dependence on the underlying data must be considered when estimating such change points. In the final part of this thesis, we extend the existing literature on change point detection so that random change points depending on the data can also be handled.

Stochastic Modeling And Derivatives Valuation In Electricity Market

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Author : Zhiyu Mo
language : en
Publisher:
Release Date : 2017

Stochastic Modeling And Derivatives Valuation In Electricity Market written by Zhiyu Mo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Bid Based Stochastic Model For Electricity Prices The Impact Of Fundamental Drivers On Market Dynamics

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Author : Petter L. Skantze
language : en
Publisher:
Release Date : 2000

Bid Based Stochastic Model For Electricity Prices The Impact Of Fundamental Drivers On Market Dynamics written by Petter L. Skantze and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

The bid based model developed in this report is intended as a fundamental model for electricity price dynamics, to be used in a wide range of applications. The emphasis was placed on incorporating the unique characteristics of electricity prices, including seasonality on multiple time scales, lack of load elasticity, stochastic supply outages, strong mean reversion, and stochastic growth of load and supply. Principal component analysis is applied in the model in order to capture intra-day dynamics, while at the same time greatly reducing the computational complexity. The model is calibrated on actual load and price data form the New England ISO. We also propose extensions of the model to deal with instances of multiple spot markets connected by transmission lines. Through simulations we illustrate how the model can be used to estimate the value of transmission rights in a two-market environment. It is also shown how the model can be used by a for-profit transmission provider in order to make optimal investment decisions in new transmission capacity. Finally, an extension of the model is proposed to simulate the interaction between technical innovation and long-term price dynamics in electricity markets.

Valuation Hedging And Speculation In Competitive Electricity Markets

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Author : Petter L. Skantze
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Valuation Hedging And Speculation In Competitive Electricity Markets written by Petter L. Skantze and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Technology & Engineering categories.

The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.

Stochastic Modelling Of Volatility And Inter Relationships In The Australian Electricity Markets

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Author : Joanna (Jia Jia) Wang
language : en
Publisher:
Release Date : 2020

Stochastic Modelling Of Volatility And Inter Relationships In The Australian Electricity Markets written by Joanna (Jia Jia) Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

To model the price and price volatilities of the Australian wholesale spot electricity markets, the univariate generalised autoregressive conditional heteroskedasticity (GARCH) models have been applied and the inter-relationships in these markets are modelled using multivariate GARCH models. Stochastic volatility (SV) models, as flexible alternatives to GARCH models, have demonstrated their superiority in many financial applications. However, the use of SV models in the modelling of electricity markets is still quite limited. This paper investigates existing multivariate SV models and proposes new SV models with skew error distributions, to model the price and price volatilities of three pairs of markets, selected from four regional electricity markets in Australia, which are shown to be highly correlated in a previous study (Higgs, 2009). Bayesian approach using Markov chain Monte Carlo (MCMC) method is adopted and model implementation is done using the software OpenBUGS. Empirical results show that the price and volatilities of selected markets are strongly correlated across different pairs of regional markets. Based on Deviance Information Criterion, the models with skew error distributions perform better than those with symmetric distribution.

Mathematical Modelling Of Contemporary Electricity Markets

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Author : Athanasios Dagoumas
language : en
Publisher: Academic Press
Release Date : 2021-01-30

Mathematical Modelling Of Contemporary Electricity Markets written by Athanasios Dagoumas and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-01-30 with Business & Economics categories.

Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets