Pablo Villaplana

Comisión Nacional de Energía

Director, Energy Derivatives Market Division

Alcalá, 47

Madrid, Madrid 28014

Spain

  • Comisión Nacional de Energía

SCHOLARLY PAPERS

5

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Top 18,263

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4,850

SSRN CITATIONS
Rank 24,340

SSRN RANKINGS

Top 24,340

in Total Papers Citations

9

CROSSREF CITATIONS

37

Scholarly Papers (5)

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1.

Modeling Electricity Prices: International Evidence

Number of pages: 32 Posted: 06 Feb 2002
Álvaro Escribano, Juan Ignacio Peña and Pablo Villaplana
Charles III University of Madrid - Department of Economics, Charles III University of Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,917 (15,108)
Citation 63

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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 1,656 (18,941)
Citation 4

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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

Number of pages: 36 Posted: 03 Jun 2004
Pablo Villaplana
Comisión Nacional de Energía
Downloads 855 (49,490)
Citation 18

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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 373 (138,523)
Citation 1

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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 49 (664,828)
Citation 1

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