Aid, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar - HAL - 2009
The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts … aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at …, how the prices of different fuels together with the demand combine to produce electricity prices. This modeling …