Work

Modelling Electricity Forward Markets by Ambit Fields

Year: 2011

Type: preprint

Abstract: This paper proposes a new modelling framework for electricity forward markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in energy markets and is highly analytically tractable. We give a detailed account on the probabilistic properties of the new type of model, and we discuss martingale conditions, option pricing and change of measure within the new model class. Also, we derive a model for the typically stationary spot price, which is obtained from the forward model through a limiting argument.

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1938704

Authors: Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut Veraart

Institutions: Aarhus University, University of Oslo, Imperial College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Danmarks Grundforskningsfond

OpenAlex ID: W1502586047

Cites: 85

Cited by: 24

Related to: 10