Müller, Jan: Stochastic modeling of the spot price of electricity incorporating commodities and renewables as exogenous factors. 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