Florentina Paraschiv (NTNU Business School) - A space-time random field model for electricity forward Prices
joint work with Fred Espen Benth
Abstract: Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a spatio-temporal dynamical model based on the Heath-Jarrow-Morton (HJM) approach under the Musiela parametrization, which ensures an arbitrage-free model for electricity forward prices. The model is fitted to a unique data set of historical Read more [...]
