Stochastic Modeling and Pricing in Energy Markets
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (20 November 2021) | Viewed by 9848
Special Issue Editor
Special Issue Information
Dear Colleagues,
Power markets undergo changes to adapt to a green economy and meet the future energy demand. The mix of carbon-fueled production and nuclear and renewable energy makes the supply side dependent on other commodity markets (like gas and coal), and weather factors (like sun, wind, and precipitation). New risk management instruments are appearing in the market, such as wind futures, alongside with more traditional weather derivatives on temperature.
In this Special Issue, we focus on the stochastic modeling of the price formations in energy markets, including power, gas, and oil, together with the factors affecting these markets, like weather. Power are traded on day-ahead, intraday, and futures markets, where prices have different characteristics, and modeling faces different challenges. Risk management and optimization, including hedging and derivatives, are included as important aspects of energy market modeling. There is a particular interest in multivariate models taking into account the connections between various markets and factors, but also the high-dimensionality of forward curves. Further, novel use of machine learning techniques and analysis and development of algorithmic trading are relevant.
We welcome high-quality papers addressing one or more of the aspects presented above. Submitted papers will undergo the usual review process, after being selected based on relevance criteria for the Special Issue.
Prof. Dr. Fred Espen Benth
Guest Editor
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Keywords
- Power markets
- intra-day, day-ahead, and futures
- Stochastic processes
- Derivatives Risk management
- Multivariate modeling
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