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Modeling Energy Spot Market and Pricing Energy Derivatives: A Technical Analysis

Sheikh, Samir Masood (2007) Modeling Energy Spot Market and Pricing Energy Derivatives: A Technical Analysis. Master's Thesis, University of Pittsburgh. (Unpublished)

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A data driven approach is utilized to model the energy spot prices using mean reverting diffusion processes with jumps. Initially, the Ornstein Uhlenbeck model is considered to calibrate the parameters using the data without incorporating jumps. After the calibration, a technical analysis of the jump magnitudes is carried out and accordingly a jump term, whose magnitudes are log-normally distributed with the rate of occurrence following a Poisson process, is incorporated into the model. Alternatively, some non-parametric statistics is also employed to analyze the jump process. Finally, an explicit closed-form equation for the price of a forward on energy spot prices is derived and prices are calculated numerically for different times to expiry.


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Item Type: University of Pittsburgh ETD
Status: Unpublished
CreatorsEmailPitt UsernameORCID
Sheikh, Samir Masoodsms79@pitt.eduSMS79
ETD Committee:
TitleMemberEmail AddressPitt UsernameORCID
Committee ChairChadam, Johnchadam@pitt.eduCHADAM
Committee MemberLayton, Williamwjl@pitt.eduWJL
Committee MemberChen, Xinfuxinfu@pitt.eduXINFU
Date: 28 June 2007
Date Type: Completion
Defense Date: 23 April 2007
Approval Date: 28 June 2007
Submission Date: 26 April 2007
Access Restriction: No restriction; Release the ETD for access worldwide immediately.
Institution: University of Pittsburgh
Schools and Programs: Dietrich School of Arts and Sciences > Mathematics
Degree: MS - Master of Science
Thesis Type: Master's Thesis
Refereed: Yes
Uncontrolled Keywords: Electricity Spot Market; forward price; Mean reverting diffusion process
Other ID:, etd-04262007-152450
Date Deposited: 10 Nov 2011 19:42
Last Modified: 15 Nov 2016 13:42


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