Construction of hourly price forward curves in electricity markets

Status:
Abgeschlossene Arbeit
Betreuer:
Fachgebiet:
Betriebswirtschaftslehre

Kurzfassung

Give an overview and compare different models for estimation of hourly price forward curves.  Price electricity Derivates based on those HPFCs.

Literatur:

- Pricing Electricity Derivatives on an Hourly Basis. Branger, Nicole, Reichmann, Oleg and Wobben, Magnus. 2009. 

- Electric Load Forecasting - USING KERNEL-BASED MODELING FOR NONLINEAR SYSTEM IDENTIFICATION. ESPINOZA, MARCELO; SUYKENS, JOHAN A.K.; BELMANS, RONNIE and DE MOOR, BART.  10.1109/MCS.2007.904656. IEEE CONTROL SYSTEMS MAGAZINE 2007. S. 43-57

- Constructing forward price curves in electricity markets. Fletena, Stein-Erik and Lemming, Jacob. Energy Economics 25 (2003). S. 409–424