Tid: 6 september 2004 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Thomas Hugmark.
Titel: On forward curve dynamics in the electricity market - dependence on hydro balance. (Examensarbete)
Sammanfattning: We establish a connection between the electricity forward market and the hydro balance in the Nordic area. We suggest a stochastic representation of the hydro reservoir process and use it to model the forward curve. The hydro balance is assumed to be the primary pricing factor in our model. All other factors are seen as noise and are therefore modelled by a Brownian motion. To model the hydro reservoir we use an Ornstein-Uhlenbeck process with a time-dependent volatility structure. We find that our forward model predicts prices fairly well under certain circumstances, if we have a reliable reservoir forecast. We also show how the model can be used to generate reservoir and price scenarios.