Literature Review: Electricity Pricing . ECON 539 3/11/2009 Presented by Paul Aljets. Background. Electricity markets are Different Must have a steady flow. Electricity cannot be easily stored. Prices are extremely volatile. Power grid must be constantly watched.
Presented by Paul Aljets
First Theory: Forward PricingVehvilainen, Ilvo (2001).Basics of Electricity Derivative pricing in Competitive Markets. Applied Mathematical Finance. 9, 45-60.
Second Paper: Mean reverting Jump DiffusionCartea, Alvaro, & Figueroa, Marcelo G. (2005). Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality. Applied Mathmatical Finance. 12-4, 313-335.
Third Theory: Nodal Bid-based PricingHogan, William W. (2008). Electricity Market Structure and Infrastructure. Conference on Acting in Time on Energy Policy.