Modeling electricity spot prices: a stochastic mean reverting jump- diffusion model with multiple reversion rates
| dc.contributor.author | Nampala, Hasifa | |
| dc.date.accessioned | 2021-01-23T09:04:38Z | |
| dc.date.available | 2021-01-23T09:04:38Z | |
| dc.date.issued | 2010 | |
| dc.description | Available in print form, EAF Collection, Dr. Wilbert Chagula Library, (THS EAF HF5439.E45N35) | en_US |
| dc.description.abstract | The nature of electricity and the behavior of electricity prices differ from that of other commodity markets. One reason for this difference is that electricity is a nonstorable good so it must be consumed almost at the instant it is generated. In most countries where electricity is deregulated, the demand for electricity is highly inelastic into rapidly rising prices, known as price spikes which stand out from the base price. The aim of this work was to identify and analyses the most important features of electricity spot prices, and we proposed a simulation algorithm that synthetically reconstructed the behavior of the real spot prices. In order to achieve this, we suggested a stochastic mean reverting jump-diffusion model that with the use of theoretical distributions it is possible to simulate a jumping mean reverting process with parameters close to real data values. | en_US |
| dc.identifier.citation | Nampala, H (2010) Modeling electricity spot prices: a stochastic mean reverting jump- diffusion model with multiple reversion rates, Masters dissertation, University of Dar es Salaam, Dar es Salaam | en_US |
| dc.identifier.uri | http://41.86.178.5:8080/xmlui/handle/123456789/14338 | |
| dc.language.iso | en | en_US |
| dc.publisher | University of Dar es Salaam | en_US |
| dc.subject | Electric power (selling) | en_US |
| dc.subject | Prices | en_US |
| dc.subject | Stochastic models | en_US |
| dc.subject | Electric supply | en_US |
| dc.title | Modeling electricity spot prices: a stochastic mean reverting jump- diffusion model with multiple reversion rates | en_US |
| dc.type | Thesis | en_US |