Translator Disclaimer
September 2014 Modelling electricity futures by ambit fields
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
Author Affiliations +
Adv. in Appl. Probab. 46(3): 719-745 (September 2014). DOI: 10.1239/aap/1409319557

Abstract

In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly analytically tractable. We discuss martingale conditions, option pricing, and change of measure within the new model class. Also, we study the corresponding model for the spot price, which is implied by the new futures model, and show that, under certain regularity conditions, the implied spot price can be represented in law as a volatility modulated Volterra process.

Citation

Download Citation

Ole E. Barndorff-Nielsen. Fred Espen Benth. Almut E. D. Veraart. "Modelling electricity futures by ambit fields." Adv. in Appl. Probab. 46 (3) 719 - 745, September 2014. https://doi.org/10.1239/aap/1409319557

Information

Published: September 2014
First available in Project Euclid: 29 August 2014

zbMATH: 1304.91213
MathSciNet: MR3254339
Digital Object Identifier: 10.1239/aap/1409319557

Subjects:
Primary: 91G99
Secondary: 60G51, 60G57, 60G60

Rights: Copyright © 2014 Applied Probability Trust

JOURNAL ARTICLE
27 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.46 • No. 3 • September 2014
Back to Top