eprintid: 130
rev_number: 4
eprint_status: archive
userid: 5
dir: disk0/00/00/01/30
datestamp: 2008-01-25
lastmod: 2015-05-29 19:47:54
status_changed: 2009-04-08 16:54:36
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Bhar, Ramaprasad
title: A jump diffusion model for spot electricity prices
ispublished: pub
subjects: utilities
subjects: finance
studygroups: misg24
companyname: Integral Energy
full_text_status: public
problem_statement: Integral Energy is exploring alternative methods for modelling spot electricity prices. Spot price models are used to generate forecasts of the pool electricity price, and these forecasts are subsequently used to calculate the Earnings at Risk (EaR) for Integral Energy’s electricity portfolio.
The most frequently referenced model for this task in the current literature is the Mean Reverting Jump Diffusion (MRJD) model. While the analytic fundamentals and features of this model are well established, the issue of how accurately the model can be calibrated to historical data remains unaddressed. This issue needs to be resolved, in order to determine the suitability of the MRJD model for the purpose of generating spot electricity price forecasts.
The aim of this project is to determine a means of calibrating the MRJD model to historical Australian spot electricity prices, such that the model will accurately capture all the features of the data, and all necessary model parameters can be determined efficiently.
date: 2007-02-09
date_type: published
citation:   Bhar, Ramaprasad  (2007) A jump diffusion model for spot electricity prices.  [Study Group Report]     
document_url: http://miis.maths.ox.ac.uk/miis/130/1/misg2007paper4.pdf