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Quantitative Finance Volume 11, 2011 - Issue 3
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Research Papers

Dynamic copula models for the spark spread

Fred Espen Benth Centre of Mathematics for Applications, Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, N–0316 Oslo, Norway; University of Agder, School of Management, Serviceboks 422, N-4604 Kristiansand, Norway
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Paul C. Kettler Centre of Mathematics for Applications, Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, N–0316 Oslo, NorwayCorrespondence[email protected]
Pages 407-421 | Received 21 Sep 2006, Accepted 25 Mar 2010, Published online: 29 Oct 2010

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Anca Pircalabu & Jesper Jung. (2017) A mixed C-vine copula model for hedging price and volumetric risk in wind power trading. Quantitative Finance 17:10, pages 1583-1600.
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Donatien Hainaut. (2023) Pricing of spread and exchange options in a rough jump–diffusion market. Journal of Computational and Applied Mathematics 419, pages 114752.
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Farshid Mehrdoust & Idin Noorani. (2022) Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. Computational Economics 61:2, pages 807-853.
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Johannes Kaufmann, Philipp Artur Kienscherf & Wolfgang Ketter. (2020) Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios. Energies 13:14, pages 3578.
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Troels Sønderby Christensen, Anca Pircalabu & Esben Høg. (2019) A seasonal copula mixture for hedging the clean spark spread with wind power futures. Energy Economics 78, pages 64-80.
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Ricardo Massa Roldan & Montserrat Reyna Miranda. (2018) Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico. Contaduría y Administración 64:2, pages 95.
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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 205 217 .
A. Pircalabu & F.E. Benth. (2017) A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. Energy Economics 68, pages 283-302.
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Edward P. C. Kao & Weiwei Xie. (2017) Pricing spread options by generalized bivariate edgeworth expansion. International Journal of Financial Engineering 04:02n03, pages 1750017.
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Andrea Roncoroni & Rachid Id Brik. (2017) Hedging size risk: Theory and application to the US gas market. Energy Economics 64, pages 415-437.
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NEMAT SAFAROV & COLIN ATKINSON. (2017) NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING. International Journal of Theoretical and Applied Finance 20:01, pages 1750004.
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A. Pircalabu, T. Hvolby, J. Jung & E. Høg. (2017) Joint price and volumetric risk in wind power trading: A copula approach. Energy Economics 62, pages 139-154.
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Xin Liao, Liang Peng, ZuoXiang Peng & YanTing Zheng. (2016) Dynamic bivariate normal copula. Science China Mathematics 59:5, pages 955-976.
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Krishna H. Koirala, Ashok K. Mishra, Jeremy M. D'Antoni & Joey E. Mehlhorn. (2015) Energy prices and agricultural commodity prices: Testing correlation using copulas method. Energy 81, pages 430-436.
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E. Chanol, O. Collet, N. Kostyuchyk, T. Mesbah & Quoc Hoang Long Nguyen. (2015) Co-integration for Soft Commodities with Non Constant Volatility. International Journal of Trade, Economics and Finance 6:1, pages 32-36.
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Xuan Wang, Junling Cai & Kaijian He. (2015) EMD Copula based Value at Risk Estimates for Electricity Markets. Procedia Computer Science 55, pages 1318-1324.
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Riadh Aloui, Mohamed Safouane Ben Aïssa, Shawkat Hammoudeh & Duc Khuong Nguyen. (2014) Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management. Energy Economics 42, pages 332-342.
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Thilo Meyer-Brandis & Michael Morgan. 2014. Quantitative Energy Finance. Quantitative Energy Finance 237 257 .
Sjur Westgaard. 2014. Energy Pricing Models. Energy Pricing Models 97 113 .
Elena Di Bernardino, Véronique Maume-Deschamps & Clémentine Prieur. (2013) Estimating a bivariate tail: A copula based approach. Journal of Multivariate Analysis 119, pages 81-100.
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Audun Nordtveit, Kim T. Watle & Stein-Erik Fleten. 2013. Handbook of Risk Management in Energy Production and Trading. Handbook of Risk Management in Energy Production and Trading 313 351 .
Troels SSnderby Christensen, Anca Pircalabu & Esben HHg. (2017) A Time-Varying Copula Mixture for Hedging the Clean Spark Spread with Wind Power Futures. SSRN Electronic Journal.
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Anca Pircalabu. (2017) A Regime-Switching Copula Approach to Modeling Day-Ahead Prices in Coupled Electricity Markets. SSRN Electronic Journal.
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Nemat Safarov & Colin Atkinson. (2016) Natural Gas-Fired Power Plants Valuation and Optimisation Under Levy Copulas and Regime-Switching. SSRN Electronic Journal.
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Andrea Roncoroni & Rachid Id Brik. (2015) Hedging Size Risk: Theory and Application to the US Gas Market. SSRN Electronic Journal.
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Diane Pierret. (2013) The Systemic Risk of Energy Markets. SSRN Electronic Journal.
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