An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market
We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obt...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2015-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/626020 |
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| _version_ | 1832545546910302208 |
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| author | Luca Di Persio Isacco Perin |
| author_facet | Luca Di Persio Isacco Perin |
| author_sort | Luca Di Persio |
| collection | DOAJ |
| description | We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obtained from the forward model through a limiting argument. Furthermore, we show, also providing a concrete example, that a proper specification of these models is able to effectively forecast prices of forward contracts written on the European Energy Exchange (EEX) AG, or German Energy Exchange, market. |
| format | Article |
| id | doaj-art-d936394b74504c169712e83609d3e48c |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2015-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-d936394b74504c169712e83609d3e48c2025-02-03T07:25:31ZengWileyJournal of Probability and Statistics1687-952X1687-95382015-01-01201510.1155/2015/626020626020An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy MarketLuca Di Persio0Isacco Perin1Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, ItalyDepartment of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, ItalyWe propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obtained from the forward model through a limiting argument. Furthermore, we show, also providing a concrete example, that a proper specification of these models is able to effectively forecast prices of forward contracts written on the European Energy Exchange (EEX) AG, or German Energy Exchange, market.http://dx.doi.org/10.1155/2015/626020 |
| spellingShingle | Luca Di Persio Isacco Perin An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market Journal of Probability and Statistics |
| title | An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market |
| title_full | An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market |
| title_fullStr | An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market |
| title_full_unstemmed | An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market |
| title_short | An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market |
| title_sort | ambit stochastic approach to pricing electricity forward contracts the case of the german energy market |
| url | http://dx.doi.org/10.1155/2015/626020 |
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