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Modelling Power Forward Prices for Positive and Negative Power Spot Prices with Upward and Downward Spikes in the Framework of the Non-Markovian Approach

  • Valery A. Kholodnyi
Chapter

Abstract

As power markets are becoming deregulated worldwide, the modelling of power forward prices is becoming a key problem in energy trading, risk management, and physical assets valuation. In this paper we present and further develop the non-Markovian approach to modelling power spot prices with spikes proposed earlier by the author. In contrast to other approaches, we model power spot prices with spikes as a non-Markovian stochastic process that allows for a unified modelling of positive and negative power spot prices as well as upward and downward spikes directly as self-reversing jumps. We show how this approach can be used for a unified modelling of positive and negative power forward prices in the case of positive and negative power spot prices with upward and downward spikes.

Keywords

Markov Process Representation Function Delivery Period Spike State Transition Probability Density Function 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgments

I am grateful to my wife Larisa and my sons Nikita and Ilya for their love, patience, and care. I am also grateful to an anonymous referee for carefully reading the manuscript.

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.Verbund Trading, AGViennaAustria

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