Simone Scotti (Paris Diderot University )

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Simone Scotti (Paris Diderot University )

16 juin

A Branching Process Approach to Power Markets

We propose and investigate a market model for power prices, including most basic features exhibited by previous models and taking into account self-exciting properties. The model proposed extends Hawkes-type models by introducing a two-fold integral representation property. The novelty contained in our approach consists in combining the basic features of both Branching Processes and Random Fields in order to get a realistic and parsimonious model setting. We shall provide some closed-form evaluation formulae for forward contracts. We shall discuss the risk premium behavior, by pointing out that in the present framework, a very realistic description arises. We shall outline a possible methodology for parameters estimation. We illustrate by graphical representation the main achievements of this approach.

Based on a joint work with Ying Jiao, Chunhua Ma and Carlo Sgarra

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Date :
16 juin