Pablo Villaplana

Comisión Nacional de Energía

Director, Energy Derivatives Market Division

Alcalá, 47

Madrid, Madrid 28014

Spain

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 9,354

SSRN RANKINGS

Top 9,354

in Total Papers Downloads

4,131

CITATIONS
Rank 7,426

SSRN RANKINGS

Top 7,426

in Total Papers Citations

64

Scholarly Papers (6)

1.

Modeling Electricity Prices: International Evidence

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 06 Feb 2002
Álvaro Escribano, Juan Ignacio Peña and Pablo Villaplana
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,653 (7,493)
Citation 26

Abstract:

electricity prices, seasonality, mean reversion, GARCH, jumps, unit root test, bootstrap

2.

Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity

Journal of Banking and Finance 32, Issue 12, (2008), pp. 2502-2519
Number of pages: 55 Posted: 25 Oct 2007 Last Revised: 11 Mar 2013
Álvaro Cartea and Pablo Villaplana
University of Oxford and Comisión Nacional de Energía
Downloads 1,378 (9,456)
Citation 6

Abstract:

power prices, demand, capacity, forward premium, forward bias, market price of capacity risk, market price of demand risk, PJM, England and Wales, Nord Pool

3.

Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach

EFMA 2004 Basel Meetings Paper
Number of pages: 36 Posted: 03 Jun 2004
Pablo Villaplana
Comisión Nacional de Energía
Downloads 554 (34,813)
Citation 4

Abstract:

4.

An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia

Number of pages: 29 Posted: 07 Sep 2012
Álvaro Cartea and Pablo Villaplana
University of Oxford and Comisión Nacional de Energía
Downloads 223 (92,380)

Abstract:

Electricity forward premia, forward risk premium, electricity prices

5.

Modelling Higher Moments of Electricity Prices

Number of pages: 32 Posted: 02 Jan 2013
Gregorio Serna and Pablo Villaplana
University of Castilla, La Mancha and Comisión Nacional de Energía
Downloads 21 (403,290)

Abstract:

Spot electricity prices, GARCH models, conditional volatility, conditional skewness, Gram-Charlier expansions

6.

Modelling Electricity Prices: International Evidence

Oxford Bulletin of Economics and Statistics, Vol. 73, Issue 5, pp. 622-650, 2011
Number of pages: 29 Posted: 16 Sep 2011
Alvaro Escribano, J. Ignacio Peña and Pablo Villaplana
affiliation not provided to SSRN, affiliation not provided to SSRN and Comisión Nacional de Energía
Downloads 3 (532,568)
Citation 28
  • Add to Cart

Abstract: