The goal of this chapter is to present models which describe the dynamics of energy commodity spot prices and their forward curves. Recent developments in energy markets together with the use of new technologies caused changes in the dynamics of spot prices and there is a growing need to understand it in a comprehensive manner. Starting from the spot price of an exchange traded commodity we assume the forward curve is also available, with a large set of liquid maturities. The forward curve provides information about the market perception of future spot prices and can be easily used to describe energy price behavior. In this chapter specific models which show to be suitable to capture the properties of energy prices are described
Introduction to Price Models for Energy / D'Ecclesia, RITA LAURA. - STAMPA. - 199(2013), pp. 25-45. - INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE. [10.1007/978-1-4614-9035-7_2].
Introduction to Price Models for Energy.
D'ECCLESIA, RITA LAURA
2013
Abstract
The goal of this chapter is to present models which describe the dynamics of energy commodity spot prices and their forward curves. Recent developments in energy markets together with the use of new technologies caused changes in the dynamics of spot prices and there is a growing need to understand it in a comprehensive manner. Starting from the spot price of an exchange traded commodity we assume the forward curve is also available, with a large set of liquid maturities. The forward curve provides information about the market perception of future spot prices and can be easily used to describe energy price behavior. In this chapter specific models which show to be suitable to capture the properties of energy prices are describedI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
