An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market. (27th October 2015)

• Record Type: Journal Article
• Authors: Di Persio, Luca; Perin, Isacco
• Other Names: Zitikis Ricardas Academic Editor.
• Is Part Of: Journal of probability and statistics. Volume 2015(2015)
• Publication Date: 2015-10-27
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Periodicals; 519
• DOI: 10.1155/2015/626020
• Languages: English
• ISSNs: 1687-952X

Abstract

Abstract : 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.