scholarly journals An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market

2015 ◽  
Vol 2015 ◽  
pp. 1-17 ◽  
Author(s):  
Luca Di Persio ◽  
Isacco Perin
Keyword(s):  
Stochastic Model ◽  
Detailed Analysis ◽  
Energy Exchange ◽  
Stochastic Approach ◽  
Forward Model ◽  
Energy Market ◽  
Spot Price ◽  
Exchange Market ◽  
Forward Contracts ◽  
Forward Prices

We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obtained from the forward model through a limiting argument. Furthermore, we show, also providing a concrete example, that a proper specification of these models is able to effectively forecast prices of forward contracts written on the European Energy Exchange (EEX) AG, or German Energy Exchange, market.

scholarly journals Stochastic approach to model spot price and value forward contracts on energy markets under uncertainty

2021 ◽  
Author(s):  
Michał Pawłowski ◽  
Piotr Nowak
Keyword(s):  
Analytical Formula ◽  
Stochastic Approach ◽  
Spot Price ◽  
Fuzzy Arithmetic ◽  
Model Parameters ◽  
Electricity Prices ◽  
Forward Contracts ◽  
Spot Prices ◽  
Hyperexponential Distribution ◽  
Diffusion With Jumps

AbstractThe paper deals with a model of electricity spot prices. The proposed dynamics of electricity spot prices is driven by a mean reverting diffusion with jumps having hyperexponential distribution. The analytical formula for the forward contract’s price is derived in a crisp case. Inasmuch as the model parameters are considered to be evaluated imprecisely, their fuzzy counterparts are introduced. With usage of the fuzzy arithmetic, the analytical expression for the forward contract’s price is derived. Several numerical examples highlighting attributes of the fuzzy forward electricity prices are brought out.

Application of Option Pricing Framework for Analyzing and Predicting Stock Prices in Energy Markets

2020 ◽  
pp. 39-57
Author(s):  
Victor Alexander Okhuese ◽  
Jane Akinyi Aduda ◽  
Joseph Mung'atu
Keyword(s):  
Option Pricing ◽  
Crude Oil ◽  
Detailed Analysis ◽  
Stock Prices ◽  
Energy Markets ◽  
Energy Market ◽  
Forward Contracts ◽  
West Texas ◽  
Forward Price ◽  
Pricing Framework

In this study, the evaluation of the pricing framework for predicting West Texas Intermediate crude oil stock was implemented where detailed analysis with varying changepoint shows that an arbitrage-free forward price can be derived from the buy-and hold strategy in the energy market thereby enabling investors in the market willing to be salvage from the market uncertainties as well as Arrow-Debreu situations to execute a spot or forward contracts depending on the time and place the market becomes favorable.

scholarly journals Stochastic and deterministic mathematical model of cholera disease dynamics with direct transmission

2020 ◽  
Vol 2020 (1) ◽  
Author(s):  
Getachew Teshome Tilahun ◽  
Woldegebriel Assefa Woldegerima ◽  
Aychew Wondifraw
Keyword(s):  
Mathematical Model ◽  
Stochastic Model ◽  
Deterministic Model ◽  
Equilibrium Points ◽  
Invariant Solution ◽  
Stochastic Approach ◽  
Disease Dynamics ◽  
Treatment Rate ◽  
Invariant Region ◽  
Contact Transmission

AbstractIn this paper we develop a stochastic mathematical model of cholera disease dynamics by considering direct contact transmission pathway. The model considers four compartments, namely susceptible humans, infectious humans, treated humans, and recovered humans. Firstly, we develop a deterministic mathematical model of cholera. Since the deterministic model does not consider the randomness process or environmental factors, we converted it to a stochastic model. Then, for both types of models, the qualitative behaviors, such as the invariant region, the existence of a positive invariant solution, the two equilibrium points (disease-free and endemic equilibrium), and their stabilities (local as well as global stability) of the model are studied. Moreover, the basic reproduction numbers are obtained for both models and compared. From the comparison, we obtained that the basic reproduction number of the stochastic model is much smaller than that of the deterministic one, which means that the stochastic approach is more realistic. Finally, we performed sensitivity analysis and numerical simulations. The numerical simulation results show that reducing contact rate, improving treatment rate, and environmental sanitation are the most crucial activities to eradicate cholera disease from the community.

scholarly journals A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES

2009 ◽  
Vol 12 (07) ◽  
pp. 925-947 ◽  
Author(s):  
RENÉ AÏD ◽  
LUCIANO CAMPI ◽  
ADRIEN NGUYEN HUU ◽  
NIZAR TOUZI
Keyword(s):  
Electricity Market ◽  
Structural Aspect ◽  
Electricity Prices ◽  
Forward Contracts ◽  
Spot Prices ◽  
Modeling Methodology ◽  
Risk Neutral ◽  
Risk Neutral Probabilities ◽  
Crude Approximation ◽  
Forward Prices

The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at the maturity T, and on the random available capacity of each production means. Our model explains, in a stylized fact, how the prices of different fuels together with the demand combine to produce electricity prices. This modeling methodology allows one to transfer to electricity prices the risk-neutral probabilities of the market of fuels and under the hypothesis of independence between demand and outages on one hand, and prices of fuels on the other hand, it provides a regression-type relation between electricity forward prices and forward prices of fuels. Moreover, the model produces, by nature, the well-known peaks observed on electricity market data. In our model, spikes occur when the producer has to switch from one technology to the lowest cost available one. Numerical tests performed on a very crude approximation of the French electricity market using only two fuels (gas and oil) provide an illustration of the potential interest of this model.

scholarly journals A Multistate Model of Reliability of Farming Machinery

2018 ◽  
Vol 10 ◽  
pp. 02005
Author(s):  
Karol Durczak ◽  
Piotr Jurek ◽  
Jan Beba ◽  
Adam Ekielski ◽  
Tomasz Żelaziński
Keyword(s):  
Stochastic Model ◽  
Detailed Analysis ◽  
Markov Processes ◽  
Reliability Theory ◽  
Reliability Model ◽  
Multistate Model ◽  
Intermediate States ◽  
The Moment ◽  
Semi Markov Processes

The article describes a multistate model of reliability of farming machinery as a deductive stochastic model of the process of changes in the technical conditions observed during operation. These conditions determine the capacity of machinery to fulfil functions, simultaneously keeping safety and maintaining acceptable costs of possible repairs. The theory of semi-Markov processes was used to solve the problem. After detailed analysis of the symptoms of damage to exemplary groups of farming machinery (rotary mowers, rotary harrows and harvesting presses) we obligatorily and arbitrarily proposed an optimal four-state reliability model to describe changes in technical conditions. In contrast to the classic reliability theory, which allows only two states of technical usability (either a machine is fit to function or not), we also allowed intermediate states, because not all types of damage affect the functionality of machinery. This approach increases the probability of technical usability of machinery and rationally delays the moment of premature repair.

scholarly journals Research on Risk Control under the Background of Electricity Futures Market

2020 ◽  
Vol 165 ◽  
pp. 06032
Author(s):  
Suyuan Chang ◽  
Dunnan Liu ◽  
Xiaoyu Li
Keyword(s):  
Electricity Market ◽  
Effective Means ◽  
Futures Market ◽  
Spot Price ◽  
Price Difference ◽  
Forward Contracts ◽  
Hedging Strategies ◽  
Futures Hedging ◽  
The Difference ◽  
Market Factors

In the process of electricity marketization, the electricity futures market is an effective means to avoid the risk of electricity price fluctuations. Based on the background of the electricity futures market, this article first analyzes the physical and market factors of the price fluctuation risk in the electricity market; then, it studies the principle and implementation effects of the power futures hedging function; finally, the manufacturer’s strategy of hedging based on the price difference between the spot price of electricity and the price of forward contracts has been studied in detail. This article believes that the electricity futures market can effectively hedge the spot market risk, and hedging strategies based on the difference between the spot price and the forward price are better.

Over-the-counter forward contracts and spot price volatility in shipping

2004 ◽  
Vol 40 (4) ◽  
pp. 273-296 ◽  
Author(s):  
Manolis G. Kavussanos ◽  
Ilias D. Visvikis ◽  
Roy A. Batchelor
Keyword(s):  
Price Volatility ◽  
Spot Price ◽  
Forward Contracts ◽  
Over The Counter

scholarly journals Stochastic Model for Aerodynamic Force Dynamics on Wind Turbine Blades in Unsteady Wind Inflow

2015 ◽  
Vol 10 (4) ◽  
Author(s):  
M. R. Luhur ◽  
J. Peinke ◽  
M. Kühn ◽  
M. Wächter
Keyword(s):  
Stochastic Model ◽  
Wind Turbine ◽  
Aerodynamic Force ◽  
Turbine Blades ◽  
Stochastic Approach ◽  
Simulation Software ◽  
Dynamic Stall ◽  
Wind Turbine Blades ◽  
Full Field ◽  
Blade Element

The paper presents a stochastic approach to estimate the aerodynamic forces with local dynamics on wind turbine blades in unsteady wind inflow. This is done by integrating a stochastic model of lift and drag dynamics for an airfoil into the aerodynamic simulation software AeroDyn. The model is added as an alternative to the static table lookup approach in blade element momentum (BEM) wake model used by AeroDyn. The stochastic forces are obtained for a rotor blade element using full field turbulence simulated wind data input and compared with the classical BEM and dynamic stall models for identical conditions. The comparison shows that the stochastic model generates additional extended dynamic response in terms of local force fluctuations. Further, the comparison of statistics between the classical BEM, dynamic stall, and stochastic models' results in terms of their increment probability density functions (PDFs) gives consistent results.

scholarly journals Modeling the Daily Number of Reported Cases of Infection from the COVID-19 Pandemic in Nigeria: A Stochastic Approach

2020 ◽  
pp. 217-235
Author(s):  
Patrick Osatohanmwen ◽  
Francis O. Oyegue ◽  
Sunday M. Ogbonmwan
Keyword(s):  
Distribution Function ◽  
Stochastic Model ◽  
Stochastic Approach ◽  
Return Periods ◽  
Daily Number ◽  
Corona Virus ◽  
Time Period ◽  
Random Behavior

The focus of this paper is to present a stochastic model to capture the random behavior of the number of reported daily infections due to the Corona Virus (COVID-19) in Nigeria. The model expressed in form of a distribution function has five parameters. The model was fitted to the logarithm of the reported daily number of infection cases for the time period March 18th - June 11th, 2020. While the results obtained established the adequacy of the model in fitting and explaining the random behavior of the number of reported daily infections, it was also possible to use the model to study the situation of the number of infections exceeding certain thresholds. The procedure for the determination of these thresholds was established and a number of them were estimated for some given return periods.

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