Modeling Power Forward Prices for Power with Spikes
http://www.erasmusenergy.com/articles/128/1/Modeling-Power-Forward-Prices-for-Power-with-Spikes/Page1.html
Valery Kholodnyi
Executive Director of the Center for Quantitative Risk Analysis
PhD in Applied Mathematics from the Moscow Institute of Electronics and Mathematics in 1990. Served as Director of Research for TXU Energy Trading; Director of Quantitative Analysis for Reliant Energy; Chief Science Officer and VP of R&D for Integrated Energy Services.
By Valery Kholodnyi
Published on 12/21/2007
Keywords:
Published in: The Energy and Power Risk Management magazine
Publication year:
We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the power spot prices do.
Published in: The Energy and Power Risk Management magazine
Publication year:
We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the power spot prices do.
Modeling Power Forward Prices for Power with Spikes
We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the power spot prices do.