Oil, Gas, Electricity and Weather Derivatives
Asset Management in Energy Companies
Agricultural Commodities
Coal, Shipping and Freight
Complex and Exotic Options (Asian, Double-Barrier, Swing)
Interest Rates Modeling with Pure Jump Processes
Valuation of Insurance Derivatives and Securitization of Catastrophic Risk
High-Frequency Data, Pure Jump Processes and Asset Price Modeling
Hedge Funds Management and Copula Functions
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Co-author 1: Andrea Roncoroni
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a jump-reversion component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture - for the rst time to our knowledge - both the trajectorial and the statistical properties of electricity pool prices. The quality of the tting is illustrated on a database of major US power markets.
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a jump-reversion component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture - for the
rst time to our knowledge - both the trajectorial and the statistical properties of electricity pool prices. The quality of the
tting is illustrated on a database of major US power markets.