Understanding price volatility in electricity markets

Proceedings of the Annual Hawaii International Conference on System Sciences

Volumn 2000-January, Issue , 2000, Pages

  Alvarado, Fernando L ^a   Rajaraman, Rajesh ^b  

^a Department of Family Medicine and Community Health   (United States)

^b Christensen Associates   (United States)

Author keywords

Electricity spot pricing; Risk management

Indexed keywords

COSTS; POWER MARKETS;

FREQUENCY-DOMAIN METHODS; MEAN REVERSION; PRICE VARIATION; PRICE VOLATILITY; RANDOM VARIATION; SPOT PRICE;

FREQUENCY DOMAIN ANALYSIS;

EID: 85094171689     PISSN: 15301605     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (5)

1. F. Schweppe, M. Caramanis, R. Tabors and R. Bohn, Spot pricing of electricity (Kluwer Academic) 1987.
2. J. Hull, Options, futures and other derivatives (Prentice-Hall) 1997.
3. S. Deng, “Stochastic Models of energy commodity prices and their application: mean-reversion with jumps and spikes,” PSERC report 98-28, 1998 (available from www.pserc.wisc.edu).
4. R. Merton, “An Inter-temporal Capital Asset Pricing Model,” Econometrica, vol 41, pp. 867-888, 1973.
5. V. Kaminski, “The challenge of pricing and risk managing electricity derivatives,” in The US Power Market (Risk Publications, Financial Engineering Ltd.);