Modelling electricity prices with forward looking capacity constraints

Applied Mathematical Finance

Volumn 16, Issue 2, 2009, Pages 103-122

  Cartea, Álvaro ^a   Figueroa, Marcelo G ^a   Geman, Helyette ^b  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b ESSEC BUSINESS SCHOOL   (France)

Author keywords

Capacity constraints; Electricity indicated demand; Electricity indicated generation; Mean reversion; Regime switching model

Indexed keywords

EID: 70449644575     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860802351164     Document Type: Article

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