An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy MarketReport as inadecuate




An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market - Download this document for free, or read online. Document in PDF available to download.

Journal of Probability and Statistics - Volume 2015 2015, Article ID 626020, 17 pages -

Research ArticleDepartment of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, Italy

Received 30 June 2015; Revised 27 September 2015; Accepted 30 September 2015

Academic Editor: Ricardas Zitikis

Copyright © 2015 Luca Di Persio and Isacco Perin. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obtained from the forward model through a limiting argument. Furthermore, we show, also providing a concrete example, that a proper specification of these models is able to effectively forecast prices of forward contracts written on the European Energy Exchange EEX AG, or German Energy Exchange, market.





Author: Luca Di Persio and Isacco Perin

Source: https://www.hindawi.com/



DOWNLOAD PDF




Related documents