CarmonaCoulon_June2012.pdf (1.01 MB)
A survey of commodity markets and structural models for electricity prices
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posted on 2023-06-08, 15:25 authored by René Carmona, Michael CoulonThe goal of this survey is to review the major idiosyncrasies of the commodity markets and the methods which have been proposed to handle them in spot and forward price models. We devote special attention to the most idiosyncratic of all: electricity markets. Following a discussion of traded instruments, market features, historical perspectives, recent developments and various modeling approaches, we focus on the important role of other energy prices and fundamental factors in setting the power price. In doing so, we present a detailed analysis of the structural approach for electricity, arguing for its merits over traditional reduced form models. Building on several recent articles, we advocate a broad and flexible structural framework for spot prices, incorporating demand, capacity and fuel prices in several ways, while calculating closed-form forward prices throughout.
History
Publication status
- Published
File Version
- Accepted version
Publisher
Springer-VerlagPage range
41-83Pages
294.0Book title
Quantitative energy finance: modeling, pricing, and hedging in energy and commodity marketsPlace of publication
New YorkISBN
9781461472476Department affiliated with
- Business and Management Publications
Full text available
- Yes
Peer reviewed?
- Yes
Editors
Valery A Kholodnyi, Peter Laurence, Fred Espen BenthLegacy Posted Date
2013-07-26First Open Access (FOA) Date
2016-03-22First Compliant Deposit (FCD) Date
2016-03-22Usage metrics
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