A survey of electricity spot and futures price models for risk management applications

被引：9
|
作者：
Deschatre, Thomas
Feron, Olivier [1 ]
Gruet, Pierre
机构：
[1] EDF Lab Paris Saclay, F-91120 Palaiseau, France
来源：
ENERGY ECONOMICS | 2021年 / 102卷
关键词：
Electricity price modeling; Electricity markets; Risk management; EUROPEAN CONTINGENT CLAIMS; JUMP-DIFFUSION-MODEL; ENERGY MARKETS; STOCHASTIC VOLATILITY; MULTIFACTOR MODEL; TERM STRUCTURE; SWING OPTIONS; NEUTRAL MODEL; POWER; VALUATION;
D O I：
10.1016/j.eneco.2021.105504
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.
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页数：23
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