A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the
last 15 years, with varying degrees of success. This review article aims to explain the …

Increasing electricity prices for private consumers manifested the idea of price boosting
renewable energy sources in Germany's public opinion. Literature however widely concurs …

The importance of price forecasting has gained attention over the last few years, with the
growth of aggregators and the general opening of the European electricity markets. Market …

We conduct an empirical analysis of three recently proposed and widely used models for
electricity spot price process. The first model, called the jump-diffusion model, was proposed …

This paper extends the investigation of the stochastic properties of electricity price growth
rates beyond their first two conditional moments allowing for the impact of seasonality on …

Within deregulated economies, large electricity volumes are traded in daily spot markets,
which are highly volatile. To develop profitable trading strategies, all stakeholders must be …

Forecasting short-term electricity prices in a deregulated electricity market is challenging
due to the inherent uncertainty and volatility of the prices, often exacerbated by unexpected …

This paper presents an improved continuous-time Markov chain approximation (MCA)
methodology for pricing derivatives and for calibrating model parameters. We propose a …

A new one factor model with a random volatility parameter is presented in this paper for
pricing of electricity futures contracts. It is shown that the model is more tractable than multi …

To capture mean reversion and sharp seasonal spikes observed in electricity prices, this
paper develops a new stochastic model for electricity spot prices by time changing the Jump …