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Modelling price dynamics through fundamental relationships in electricity and other energy markets

Abstract:

Energy markets feature a wide range of unusual price behaviour along with a complicated dependence structure between electricity, natural gas, coal and carbon, as well as other variables. We approach this broad modelling challenge by firstly developing a structural framework to modelling spot electricity prices, through an analysis of the underlying supply and demand factors which drive power prices, and the relationship between them. We propose a stochastic model for fuel prices, power deman...

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Institution:
University of Oxford
Research group:
Mathematical and Computational Finance Group
Oxford college:
Mansfield College
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute
Role:
Author

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Role:
Supervisor
Publication date:
2009
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:ddc11641-920f-461f-85cd-a9e6351d9104
Local pid:
ora:3073

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