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
Articles by this Author
Constructing Forward Price Curves in Electricity Markets
- By Stein-Erik Fleten
- Published 12/17/2007
- Price modeling
-
Rating:
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.
