2 papers
q-fin.MF2020
Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price
Wieger Hinderks, Ralf Korn, Andreas Wagner
In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price . We use it to connect the c…
q-fin.MF2018
A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices
Wieger Hinderks, Andreas Wagner, Ralf Korn
In this paper we introduce a flexible HJM-type framework that allows for consistent modelling of intraday, spot, futures, and option prices. This framework is based on stochastic p…