scholarly journals A self‐exciting modeling framework for forward prices in power markets

2021 ◽  
Author(s):  
Giorgia Callegaro ◽  
Andrea Mazzoran ◽  
Carlo Sgarra
Keyword(s):  
Power Markets ◽  
Modeling Framework ◽  
Forward Prices

scholarly journals ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING

2007 ◽  
Vol 10 (07) ◽  
pp. 1111-1135 ◽  
Author(s):  
SAMUEL HIKSPOORS ◽  
SEBASTIAN JAIMUNGAL
Keyword(s):  
Closed Form ◽  
Calibration Procedure ◽  
Spot Price ◽  
Elementary Functions ◽  
Modeling Framework ◽  
Market Prices ◽  
Spot Prices ◽  
Spread Options ◽  
Forward Price ◽  
Forward Prices

In this article, we construct forward price curves and value a class of two asset exchange options for energy commodities. We model the spot prices using an affine two-factor mean-reverting process with and without jumps. Within this modeling framework, we obtain closed form results for the forward prices in terms of elementary functions. Through measure changes induced by the forward price process, we further obtain closed form pricing equations for spread options on the forward prices. For completeness, we address both an Actuarial and a risk-neutral approach to the valuation problem. Finally, we provide a calibration procedure and calibrate our model to the NYMEX Light Sweet Crude Oil spot and futures data, allowing us to extract the implied market prices of risk for this commodity.

Market Power in Power Markets: Evidence from Forward Prices of Electricity

2007 ◽  
Author(s):  
Bent Jesper Christensen ◽  
Thomas Elgaard Jensen ◽  
Rune Mølgaard
Keyword(s):  
Market Power ◽  
Power Markets ◽  
Forward Prices

Modeling Framework for Dynamic Wing Loads and Control Design of a Flexible Aircraft

2021 ◽  
Author(s):  
Simone Malisani ◽  
Elisa Capello
Keyword(s):  
Control Design ◽  
Modeling Framework ◽  
Flexible Aircraft ◽  
And Control

Development Of A Modeling Framework For Refined Residential Occupancy Schedules In An Urban Energy Model

2020 ◽  
Author(s):  
Diba Malekpour Koupaei ◽  
Farzad Hashemi ◽  
Vinciane Tabard-Fortecoëf ◽  
Ulrike Passe
Keyword(s):  
Energy Model ◽  
Modeling Framework ◽  
Urban Energy

Modelling Gas Processing Unit: An Inter-disciplinary Approach Based on Petri Nets

2008 ◽  
Vol 59 (7) ◽  
Author(s):  
Sanda Florentina Mihalache
Keyword(s):  
Industrial Process ◽  
Industrial Processes ◽  
Processing Unit ◽  
Industrial System ◽  
Modeling Framework ◽  
Gas Processing ◽  
Human Interactions ◽  
Modelling Method ◽  
Effective Representation ◽  
Modelling Approach

A modelling approach that will facilitate an in-depth understanding of the interactions of the different phenomena, human interactions and environmental factors constituting �real world� industrial processes is presented. An important industrial system such as Gas Processing Unit (GPU) have inter-related internal process activities coexisting with external events and requires a real time inter-disciplinary approach to model them. This modeling framework is based on identifying as modules, the part of processes that have interactions and can be considered active participants in overall behaviour. The selected initial set of modules are structured as Petri net models and made to interact iteratively to provide process states of the system. The modeling goal is accomplished by identifying the evolution of the process states as a means of effective representation of the �actual running�� of the industrial process. The paper discusses the function and the implementation of the modelling method as applicable to the industrial case of GPU.

Integrated Modeling Framework for Anthropometry and Physiology Virtual Body

2007 ◽  
Author(s):  
Patrick Wilkerson ◽  
Andrzej Pzrekwas
Keyword(s):  
Integrated Modeling ◽  
Modeling Framework ◽  
Virtual Body
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