arXiv subjects

Wieger Hinderks

Publications and source records attributed to Wieger Hinderks.

2 recordsLinked to original sources

arXiv2020

Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price

In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price $p(τ)$. We use it to connect the classical theory of storage with the concept of a risk premium. We derive prices for all common contracts such as the intraday spot price, the day-ahead spot price, and futures prices. Finally, we propose an explicit model from the class of structural models and conduct an empirical analysis, where we find an overall negative risk premium.

q-fin.MF↗

arXiv2019

A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices

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 processes with economic interpretations and consistent with the initial term structure given in the form of a price forward curve. Furthermore, the framework allows for existing day-ahead spot price models to be used in an HJM setting. We include several explicit examples of classical spot price models but also show how structural models and factor models can be formulated within the framework.

q-fin.MF↗