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Stochastic Modeling of Power Markets Using Stationary Processes

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Seminar on Stochastic Analysis, Random Fields and Applications VII

Part of the book series: Progress in Probability ((PRPR,volume 67))

Abstract

We make a survey over recent developments in stochastic modelling of power markets, with a particular focus on the application of stationary processes. We analyse the class of Lévy semistationary processes proposed by Barndorff-Nielsen, Benth and Veraart [1] for modelling electricity spot prices. We suggest and analyse different numerical methods for simulating the paths of these processes, a particulary important question for risk management studies in power markets. Finally, we discuss the aspect of pricing forward contracts based on a class of stationary models, and review some implications.

Mathematics Subject Classification (2010). Primary 60G10; Secondary 91B28, 65C05, 65C20.

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References

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Author information

Authors and Affiliations

  1. Centre of Mathematics for Applications (CMA), University of Oslo, 1053, Blindern, N-0316, Oslo, Norway

    Fred Espen Benth & Heidar Eyjolfsson

Authors
  1. Fred Espen Benth
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  2. Heidar Eyjolfsson
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Corresponding author

Correspondence to Fred Espen Benth .

Editor information

Editors and Affiliations

  1. Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP), Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB), Lausanne, Switzerland

    Robert C. Dalang

  2. Institut Elie Cartan, Université de Lorraine, Vandoeuvre-les-Nancy CX, France

    Marco Dozzi

  3. Unité de Mathématiques appliquées, ENSTA ParisTech, Palaiseau, France

    Francesco Russo

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Benth, F.E., Eyjolfsson, H. (2013). Stochastic Modeling of Power Markets Using Stationary Processes. In: Dalang, R., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications VII. Progress in Probability, vol 67. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-0545-2_14

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