Stochastic Modelling of Electricity and Related Markets

Stochastic Modelling of Electricity and Related Markets

Author: Fred Espen Benth

Publisher: World Scientific

Published: 2008

Total Pages: 352

ISBN-13: 981281230X

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The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.


Book Synopsis Stochastic Modelling of Electricity and Related Markets by : Fred Espen Benth

Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Stochastic Modeling Of Electricity And Related Markets

Stochastic Modeling Of Electricity And Related Markets

Author: Fred Espen Benth

Publisher: World Scientific

Published: 2008-04-14

Total Pages: 352

ISBN-13: 9814471313

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The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.


Book Synopsis Stochastic Modeling Of Electricity And Related Markets by : Fred Espen Benth

Download or read book Stochastic Modeling Of Electricity And Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008-04-14 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Stochastic Modelling of Electricity and Related Markets

Stochastic Modelling of Electricity and Related Markets

Author: Fred Espen Benth

Publisher: World Scientific

Published: 2008

Total Pages: 352

ISBN-13: 9812812318

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The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.


Book Synopsis Stochastic Modelling of Electricity and Related Markets by : Fred Espen Benth

Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.

Stochastic Modelling and Pricing of Electricity and Related Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities

Stochastic Modelling and Pricing of Electricity and Related Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities

Author: Anatoliy V. Swishchuk

Publisher:

Published: 2010

Total Pages: 0

ISBN-13:

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In this paper we study stochastic models for electricity, gas and temperature markets' contracts with delay and jumps. The basic products in these markets are spot, futures and forward contracts, swaps and options written on these. We concentrate our study on pricing of these kind of contracts. We also study optimal control of stochastic differential delay equations (SDDEs) with jumps and its applications in energy markets and economics.


Book Synopsis Stochastic Modelling and Pricing of Electricity and Related Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities by : Anatoliy V. Swishchuk

Download or read book Stochastic Modelling and Pricing of Electricity and Related Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities written by Anatoliy V. Swishchuk and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study stochastic models for electricity, gas and temperature markets' contracts with delay and jumps. The basic products in these markets are spot, futures and forward contracts, swaps and options written on these. We concentrate our study on pricing of these kind of contracts. We also study optimal control of stochastic differential delay equations (SDDEs) with jumps and its applications in energy markets and economics.

Mathematical Modelling of Contemporary Electricity Markets

Mathematical Modelling of Contemporary Electricity Markets

Author: Athanasios Dagoumas

Publisher: Academic Press

Published: 2021-01-30

Total Pages: 444

ISBN-13: 0128218398

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Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets


Book Synopsis Mathematical Modelling of Contemporary Electricity Markets by : Athanasios Dagoumas

Download or read book Mathematical Modelling of Contemporary Electricity Markets written by Athanasios Dagoumas and published by Academic Press. This book was released on 2021-01-30 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets

Handbook Of Energy Finance: Theories, Practices And Simulations

Handbook Of Energy Finance: Theories, Practices And Simulations

Author: Stephane Goutte

Publisher: World Scientific

Published: 2020-01-30

Total Pages: 827

ISBN-13: 9813278390

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Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.


Book Synopsis Handbook Of Energy Finance: Theories, Practices And Simulations by : Stephane Goutte

Download or read book Handbook Of Energy Finance: Theories, Practices And Simulations written by Stephane Goutte and published by World Scientific. This book was released on 2020-01-30 with total page 827 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.

ESSAYS ON STOCHASTIC MODELING IN ELECTRICITY MARKETS

ESSAYS ON STOCHASTIC MODELING IN ELECTRICITY MARKETS

Author:

Publisher:

Published: 2023

Total Pages: 0

ISBN-13: 9788772101231

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Book Synopsis ESSAYS ON STOCHASTIC MODELING IN ELECTRICITY MARKETS by :

Download or read book ESSAYS ON STOCHASTIC MODELING IN ELECTRICITY MARKETS written by and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Modeling of Intraday Electricity Markets

Stochastic Modeling of Intraday Electricity Markets

Author: Cassandra Milbradt

Publisher:

Published: 2023*

Total Pages: 0

ISBN-13:

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Englische Version: Limit order books are the standard instrument for price formation in modern financial markets. While electricity has traditionally been traded through auctions, there are intraday electricity markets, such as the SIDC market, in which buyers and sellers meet via limit order books. In this thesis, stochastic models of limit order books are developed based on the underlying market microstructure. A particular focus is set on incorporating unique characteristics of intraday electricity markets, some of which are quite different from those of financial markets. The developed models in this thesis start with a realistic and microscopic description of the market dynamics. Large price changes over short time periods are considered, as well as limited cross-border activities. These microscopic models are generally computationally too intensive for practical applications. The main goal of this thesis is therefore to derive suitable approximations of these microscopic models by so-called scaling limits. For this purpose, appropriate scaling assumptions are carefully formulated and incorporated into the microscopic models which allow us to study their high-frequency behavior when the size of an individual order converges to zero while the order arrival rate tends to infinity. Calibration of mathematical models is one of the main concerns from a practitioner's point of view. It is well known that change points (abrupt variations) are present in high-frequency financial data. If they are caused by endogenous effects, the dependence on the underlying data must be considered when estimating such change points. In the final part of this thesis, we extend the existing literature on change point detection so that random change points depending on the data can also be handled.


Book Synopsis Stochastic Modeling of Intraday Electricity Markets by : Cassandra Milbradt

Download or read book Stochastic Modeling of Intraday Electricity Markets written by Cassandra Milbradt and published by . This book was released on 2023* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Englische Version: Limit order books are the standard instrument for price formation in modern financial markets. While electricity has traditionally been traded through auctions, there are intraday electricity markets, such as the SIDC market, in which buyers and sellers meet via limit order books. In this thesis, stochastic models of limit order books are developed based on the underlying market microstructure. A particular focus is set on incorporating unique characteristics of intraday electricity markets, some of which are quite different from those of financial markets. The developed models in this thesis start with a realistic and microscopic description of the market dynamics. Large price changes over short time periods are considered, as well as limited cross-border activities. These microscopic models are generally computationally too intensive for practical applications. The main goal of this thesis is therefore to derive suitable approximations of these microscopic models by so-called scaling limits. For this purpose, appropriate scaling assumptions are carefully formulated and incorporated into the microscopic models which allow us to study their high-frequency behavior when the size of an individual order converges to zero while the order arrival rate tends to infinity. Calibration of mathematical models is one of the main concerns from a practitioner's point of view. It is well known that change points (abrupt variations) are present in high-frequency financial data. If they are caused by endogenous effects, the dependence on the underlying data must be considered when estimating such change points. In the final part of this thesis, we extend the existing literature on change point detection so that random change points depending on the data can also be handled.

Decision Making Under Uncertainty in Electricity Markets

Decision Making Under Uncertainty in Electricity Markets

Author: Antonio J. Conejo

Publisher: Springer Science & Business Media

Published: 2010-09-08

Total Pages: 549

ISBN-13: 1441974210

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Decision Making Under Uncertainty in Electricity Markets provides models and procedures to be used by electricity market agents to make informed decisions under uncertainty. These procedures rely on well established stochastic programming models, which make them efficient and robust. Particularly, these techniques allow electricity producers to derive offering strategies for the pool and contracting decisions in the futures market. Retailers use these techniques to derive selling prices to clients and energy procurement strategies through the pool, the futures market and bilateral contracting. Using the proposed models, consumers can derive the best energy procurement strategies using the available trading floors. The market operator can use the techniques proposed in this book to clear simultaneously energy and reserve markets promoting efficiency and equity. The techniques described in this book are of interest for professionals working on energy markets, and for graduate students in power engineering, applied mathematics, applied economics, and operations research.


Book Synopsis Decision Making Under Uncertainty in Electricity Markets by : Antonio J. Conejo

Download or read book Decision Making Under Uncertainty in Electricity Markets written by Antonio J. Conejo and published by Springer Science & Business Media. This book was released on 2010-09-08 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision Making Under Uncertainty in Electricity Markets provides models and procedures to be used by electricity market agents to make informed decisions under uncertainty. These procedures rely on well established stochastic programming models, which make them efficient and robust. Particularly, these techniques allow electricity producers to derive offering strategies for the pool and contracting decisions in the futures market. Retailers use these techniques to derive selling prices to clients and energy procurement strategies through the pool, the futures market and bilateral contracting. Using the proposed models, consumers can derive the best energy procurement strategies using the available trading floors. The market operator can use the techniques proposed in this book to clear simultaneously energy and reserve markets promoting efficiency and equity. The techniques described in this book are of interest for professionals working on energy markets, and for graduate students in power engineering, applied mathematics, applied economics, and operations research.

Modeling and Forecasting Electricity Loads and Prices

Modeling and Forecasting Electricity Loads and Prices

Author: Rafal Weron

Publisher: John Wiley & Sons

Published: 2007-01-30

Total Pages: 192

ISBN-13: 0470059990

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This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes—electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.


Book Synopsis Modeling and Forecasting Electricity Loads and Prices by : Rafal Weron

Download or read book Modeling and Forecasting Electricity Loads and Prices written by Rafal Weron and published by John Wiley & Sons. This book was released on 2007-01-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes—electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.