Müller, Jan: Stochastic modeling of the spot price of electricity incorporating commodities and renewables as exogenous factorsStochastische Modellierung des Spotpreises für Strom unter Berücksichtigung von Rohstoffpreisen und erneuerbaren Energien als exogenen Faktoren. 2013
Inhalt
- Acknowledgements
- Abstract
- Zusammenfassung
- Contents
- List of symbols
- Introduction
- Commodity markets
- Modeling the spot price of electricity
- The merit order curve
- Literature on electricity price models
- The new spot price model
- Modeling the load
- Inclusion of futures market information
- Modeling the spot price of natural gas
- Introduction
- A review of the model by Stoll and Wiebauer (2010)
- The oil price dependence of gas prices
- Model calibration with temperature and oil price
- Conclusion
- Modeling commodity prices
- Literature on commodity price models
- Three-dimensional random walk
- Correlated two factor model
- Cointegration
- Discussion of electricity price models
- Pricing of retail power contracts
- Conclusion
- Mathematical appendix
- Programming
- Bibliography