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An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-27
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Di Persio, Luca& Perin, Isacco. 2015. An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market. Journal of Probability and Statistics،Vol. 2015, no. 2015, pp.1-17.
https://search.emarefa.net/detail/BIM-1070002
Modern Language Association (MLA)
Di Persio, Luca& Perin, Isacco. An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market. Journal of Probability and Statistics No. 2015 (2015), pp.1-17.
https://search.emarefa.net/detail/BIM-1070002
American Medical Association (AMA)
Di Persio, Luca& Perin, Isacco. An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market. Journal of Probability and Statistics. 2015. Vol. 2015, no. 2015, pp.1-17.
https://search.emarefa.net/detail/BIM-1070002
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1070002