Modeling Electricity Prices with Stochastic Langevin Equations

IF 2.6 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2025-03-26 DOI:10.1007/s10690-024-09508-0

Markus Hess

引用次数: 0

Abstract

In this paper, we present an arithmetic electricity spot price model based on generalized Langevin equations. In this setup, we investigate electricity forward pricing under future information modeled by initially enlarged filtrations. Hence, our model not only accounts for memory effects via the involved retarded Langevin equations, but also incorporates forward-looking information on future price behavior via the appearing enlarged filtrations. We also treat the pricing of options written on anticipative electricity forwards. We finally derive the optimal mean variance hedging portfolio for an electricity market insider having knowledge of future price behavior.

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用随机朗格万方程建模电价

本文提出了一种基于广义朗之万方程的电力现货价格算法模型。在此设置中，我们研究了在初始放大过滤模型下的未来信息下的电力远期定价。因此，我们的模型不仅通过所涉及的延迟朗格万方程来解释记忆效应，而且还通过出现的放大过滤纳入了未来价格行为的前瞻性信息。我们还研究了预期电力远期期权的定价。最后，我们推导出电力市场内部人士了解未来价格行为的最优均值方差对冲投资组合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets

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