Give an overview and compare different models for estimation of hourly price forward curves. Price electricity Derivates based on those HPFCs.
Literatur:
- Pricing Electricity Derivatives on an Hourly Basis. Branger, Nicole, Reichmann, Oleg and Wobben, Magnus. 2009.
- Electric Load Forecasting - USING KERNEL-BASED MODELING FOR NONLINEAR SYSTEM IDENTIFICATION. ESPINOZA, MARCELO; SUYKENS, JOHAN A.K.; BELMANS, RONNIE and DE MOOR, BART. 10.1109/MCS.2007.904656. IEEE CONTROL SYSTEMS MAGAZINE 2007. S. 43-57
- Constructing forward price curves in electricity markets. Fletena, Stein-Erik and Lemming, Jacob. Energy Economics 25 (2003). S. 409–424