DocumentCode
2591819
Title
Some non-Gaussian models for electricity spot prices
Author
Collet, Jérôme ; Duwig, Véronique ; Oudjane, Nadia
Author_Institution
EDF/R&D/OSIRIS, Clamart
fYear
2006
fDate
11-15 June 2006
Firstpage
1
Lastpage
7
Abstract
Electricity spot prices are characterized by important spikes, which cannot be taken into account by Gaussian models. These spikes are essential in risk analysis, especially when we are interested in valuating out of the money options. The aim of this paper is to study and compare two time continuous non-Gaussian models for electricity spot prices specially devoted to pricing applications
Keywords
power markets; pricing; risk analysis; electricity spot prices; nonGaussian model; risk analysis; spikes; Cost accounting; Data analysis; Gaussian noise; Gaussian processes; Parameter estimation; Power system modeling; Pricing; Research and development; Risk analysis; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Probabilistic Methods Applied to Power Systems, 2006. PMAPS 2006. International Conference on
Conference_Location
Stockholm
Print_ISBN
978-91-7178-585-5
Type
conf
DOI
10.1109/PMAPS.2006.360293
Filename
4202305
Link To Document