This paper concerns the modelling of electricity spot prices in the Nordic-Baltic market. The paper begins with a description of the market and a summary of stylized facts of electricity spot prices. These characteristics are later on used in the calibration of a mean-reverting jump diffusion model. The work ends with simulations of the model and a discussion about further improvements that can be made.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-95326 |
| Date | January 2020 |
| Creators | Björnberg, Dag |
| Publisher | Linnéuniversitetet, Institutionen för matematik (MA) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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