A Two-Factor Model for the Electricity Forward Market

Böerger, Reik H.; Kiesel, Rüdiger; Schindlmayr, Gero

[journal article]

dc.contributor.author	Böerger, Reik H.	de
dc.contributor.author	Kiesel, Rüdiger	de
dc.contributor.author	Schindlmayr, Gero	de
dc.date.accessioned	2011-02-23T03:48:00Z	de
dc.date.accessioned	2012-08-29T23:07:46Z
dc.date.available	2012-08-29T23:07:46Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22123
dc.description.abstract	This paper provides a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and modifies it to make it applicable to the electricity market. We will especially take care of the existence of delivery periods in the underlying futures. Additionally, the model is calibrated to options on electricity futures and its performance for practical application is discussed.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Quantitative finance; Weather derivative pricing; Applied mathematical finance; Time series analysis
dc.title	A Two-Factor Model for the Electricity Forward Market	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	9	de
dc.publisher.country	GBR
dc.source.issue	3	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Economic Sectors	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Wirtschaftssektoren	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-221234	de
dc.date.modified	2011-03-17T11:22:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	279-287
internal.identifier.classoz	10905
internal.identifier.classoz	1090304
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680802126530	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics
Wirtschaftssektoren
Economic Sectors

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