Tid: 2 juni 2008 kl 15.15-16.00 .

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Peter Tram

Titel: Constructing the forward curve for the electricity market

Sammanfattning: Electricity has special characteristics compared to other assets. The most distinguishing characteristic is the non-storability, which means that the use of both the cost-of-carry argument and the condition of no arbitrage are not applicable for pricing. Moreover, electricity prices incorporate seasonal patterns, jumps, spikes and high volatility. Due to the above-mentioned characteristics of electricity, the research area of describing and forecasting electricity has become most important for participants on the electricity market.

The aim of this thesis is to find a method for constructing the forward curve for the electricity market. The forward prices provided by the market can only give us a hint of the forward curve. If the settlement period is long, the forward price can hide seasonality. However, power companies have models for predicting the future spot prices taking into consideration the seasonality behaviour among other things. We found a method for constructing a smooth forward curve, where we combined both the observed price information from the market and the information based on different scenarios from a power company.

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