Abstract

http://ssrn.com/abstract=592262
 
 

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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality


Álvaro Cartea


University College London

Marcelo G. Figueroa


University of London - Birkbeck College


Applied Mathematical Finance, Vol. 12, No. 4, December 2005

Abstract:     
In this paper we present a mean-reverting jump diffusion model for the electricity spot price. We obtain a closed-form solution for forward contracts and calibrate it to market data from England and Wales. Finally, based on the calibrated forward curve we present months, quarters, and seasons-ahead forward surfaces.

Number of Pages in PDF File: 29

Keywords: Energy derivatives, electricity, forward curve

JEL Classification: G12, G13

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Date posted: October 4, 2006  

Suggested Citation

Cartea, Álvaro and Figueroa, Marcelo G., Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. Applied Mathematical Finance, Vol. 12, No. 4, December 2005. Available at SSRN: http://ssrn.com/abstract=592262

Contact Information

Álvaro Cartea (Contact Author)
University College London ( email )
Gower Street
London, WC1E 6BT
United Kingdom
HOME PAGE: http://www.cartea.net
Marcelo G. Figueroa
University of London - Birkbeck College ( email )
Malet Street
London, WC1E 7HX
United Kingdom
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