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q-fin.TR2021★ 1 cited
Electricity intraday price modeling with marked Hawkes processes
Thomas Deschatre, Pierre Gruet
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent differ…
q-fin.MF2021
A survey of electricity spot and futures price models for risk management applications
Thomas Deschatre, Olivier Féron, Pierre Gruet
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 ri…