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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
Open accessAbstract
This paper presents a mean‐reverting jump diffusion model for the electricity spot price and derives the corresponding forward price in closed‐form. Based on historical spot data and forward data from England and Wales the model is calibrated and months, quarters, and seasons–ahead forward surfaces are presented.
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Citations
Cited by
Electricity price forecasting: A review of the state-of-the-art with a look into the future
Weron, R. (2014) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2014.08.008 · Cited by 1,646
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
Weron, R. (2006) · doi:10.1002/9781118673362 · Cited by 708
Electricity Price Forecasting Using Recurrent Neural Networks
Ugurlu, U., Oksuz, I., & Tas, O. (2018) · Energies · doi:10.3390/en11051255 · Cited by 299
The impact of renewable energies on EEX day-ahead electricity prices
Paraschiv, F., Erni, D., & Pietsch, R. (2014) · Energy Policy · doi:10.1016/j.enpol.2014.05.004 · Cited by 254
Metadata
- Authors
- Cartea, Á., & Figueroa, M. G.
- Venue
- Applied Mathematical Finance
- Publisher
- Informa UK Limited
- Published
- 2005-12
- Volume
- 12
- Issue
- 4
- Pages
- 313-335
- ISSN
- 1350-486X (ISSN-L)
- 1466-4313
- OpenAlex
- W2150956140
- Cited by
- 472
- References
- 0
- FWCI
- 28.97
- Type
- journal article
- Language
- en
- Open access
- green
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- CoChat. (2026). Citation check: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. https://app.cochat.ai/papers/10.1080/13504860500117503
- The paper
- Cartea, Á., & Figueroa, M. G. (2005). Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. Applied Mathematical Finance. https://doi.org/10.1080/13504860500117503
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
