dc.date.accessioned | 2015-01-19T13:42:47Z | |
dc.date.available | 2015-01-19T13:42:47Z | |
dc.date.created | 2011-12-20T08:16:45Z | |
dc.date.issued | 2012 | |
dc.identifier.citation | Benth, Fred Espen Sgarra, Carlo . The Risk Premium and the Esscher Transform in Power Markets. Stochastic Analysis and Applications. 2012, 30(1), 20-43 | |
dc.identifier.uri | http://hdl.handle.net/10852/41889 | |
dc.description.abstract | In power markets one frequently encounters a risk premium being positive in the short end of the forward curve and negative in the long end. Economically it has been argued that the positive premium is reflecting retailers aversion for spike risk, wheras in the long end of the forward curve, the hedging pressure kicks in as in other commodity markets. Mathematically, forward prices are expressed as risk-neutral expectations of the spot at delivery. We apply the Esscher transform on power spot models based on mean-reverting processes driven by independent increment (time-inhomogeneous Lévy) processes. It is shown that the Esscher transform is yielding a change of mean-reversion level. Moreover, we show that an Esscher transform together with jumps occuring seasonally may explain the occurence of a positive risk premium in the short end. This is demonstrated both mathematically and by a numerical example for a two-factor spot model being relevant for electricity markets. | |
dc.language | EN | |
dc.title | The Risk Premium and the Esscher Transform in Power Markets | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Sgarra, Carlo | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 870527 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic Analysis and Applications&rft.volume=30&rft.spage=20&rft.date=2012 | |
dc.identifier.jtitle | Stochastic Analysis and Applications | |
dc.identifier.volume | 30 | |
dc.identifier.issue | 1 | |
dc.identifier.startpage | 20 | |
dc.identifier.endpage | 43 | |
dc.identifier.doi | http://dx.doi.org/10.1080/07362994.2012.628906 | |
dc.identifier.urn | URN:NBN:no-46295 | |
dc.type.document | Tidsskriftartikkel | |
dc.source.issn | 0736-2994 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41889/1/paper6.pdf | |
dc.type.version | SubmittedVersion | |