Presentation: Modeling spot and forward prices in energy markets
Workshop: Advanced Modeling in Finance and Insurance
Time: Wed, September 24, 2008, 09:30-10:20
Speaker: Fred Espen Benth
Abstract
We discuss stochastic modeling of spot and forward prices in energy markets, with a particular view towards electricity.
Features like spikes in spot prices, seasonal variation and mean-reversion are discussed, and the link between spot and forward prices in these markets problematized.
Various approaches including enlargement of filtrations to explain the risk premium observed in these markets are analysed.
Presentation slides (pdf, 622 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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