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arXiv · 2103.16918

A survey of electricity spot and futures price models for risk management applications

Thomas Deschatre·Olivier Féron·Pierre Gruet
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Abstract

This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.

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Thomas Deschatre, Olivier Féron, Pierre Gruet. 2021-03-31. A survey of electricity spot and futures price models for risk management applications. https://arxiv.org/abs/2103.16918

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