Constructing Forward Price Curves in Electricity Markets
http://www.erasmusenergy.com/articles/127/1/Constructing-Forward-Price-Curves-in-Electricity-Markets/Page1.html
Stein-Erik Fleten
Fields of interest:
Stochastic programming
Finance: Asset and liability management and option pricing theory
Investment under uncertainty (real options)
Energy market modeling: power scheduling, risk management, market power issues
By Stein-Erik Fleten
Published on 12/17/2007
Keywords: Electricity prices; Forward price curves; Electricity markets; Price modelling
Published in:
Publication year: 2001
Co-author 1: Jacob Lemming
We present and analyze a method for constructing approximated continuous forward price curves in electricity markets. Because a limited number of forward or futures contracts are traded in the market, only a limited picture of the theoretical continuous forward price curve is available to the analyst. Our method combines the information contained in observed bid and ask prices with information from forecasts generated by bottom-up models. As an example we use information con- cerning the shape of the seasonal variation from a bottom-up model to improve the forward price curve quoted on the Nordic power exchange.
Published in:
Publication year: 2001
Co-author 1: Jacob Lemming
We present and analyze a method for constructing approximated continuous forward price curves in electricity markets. Because a limited number of forward or futures contracts are traded in the market, only a limited picture of the theoretical continuous forward price curve is available to the analyst. Our method combines the information contained in observed bid and ask prices with information from forecasts generated by bottom-up models. As an example we use information con- cerning the shape of the seasonal variation from a bottom-up model to improve the forward price curve quoted on the Nordic power exchange.
Constructing Forward Price Curves in Electricity Markets
We present and analyze a method for constructing approximated continuous forward price curves in electricity markets. Because a limited number of forward or futures contracts are traded in the market, only a limited picture of the theoretical continuous forward price curve is available to the analyst. Our method combines the information contained in observed bid and ask prices with information from forecasts generated by bottom-up models. As an example we use information con- cerning the shape of the seasonal variation from a bottom-up model to improve the forward price curve quoted on the Nordic power exchange.