A structural Heath-Jarrow-Morton framework for consistent intraday,\n spot, and futures electricity prices

2018/03/23 by Wieger Hinderks, Andreas Wagner, Hinderks, Wieger +3
Engineering · Energy · Economics, Econometrics and Finance · #Electric Power System Optimization #Energy Efficiency and Management #Capital Investment and Risk Analysis

paper · pdf · doi:10.48550/arxiv.1803.08831

Abstract

In this paper we introduce a flexible HJM-type framework that allows for\nconsistent modelling of intraday, spot, futures, and option prices. This\nframework is based on stochastic processes with economic interpretations and\nconsistent with the initial term structure given in the form of a price forward\ncurve. Furthermore, the framework allows for existing day-ahead spot price\nmodels to be used in an HJM setting. We include several explicit examples of\nclassical spot price models but also show how structural models and factor\nmodels can be formulated within the framework.\n

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