Based on empirical evidence of fast mean-reverting spikes, electricity spot prices are often modeled X + Z$$ as the sum of a continuous Itô semimartingale X and a mean-reverting compound Poisson process $$ where $$ is Poisson random measure with intensity λds ⊗dt. In a first part, we investigate the estimation of (λ, β) from discrete observations and establish asymptotic efficiency in various asymptotic settings. In a second part, we discuss the use of our inference results for correcting the value of forward contracts on electricity markets in presence of spikes. We implement our method on real data in the French, German and Australian market over 2015 and 2016 and show in particular the effect of spike modelling on the valuation of certain strip options. In particular, we show that some out-of-the-money options have a significant value if we incorporate spikes in our modelling, while having a value close to 0 otherwise.
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DOI : 10.1051/ps/2020027
Mots-clés : Financial statistics, discrete observations, electricity market modelling, derivatives pricing
@article{PS_2020__24_1_963_0,
author = {Deschatre, Thomas and F\'eron, Olivier and Hoffmann, Marc},
title = {Estimating fast mean-reverting jumps in electricity market models},
journal = {ESAIM: Probability and Statistics},
pages = {963--1002},
publisher = {EDP-Sciences},
volume = {24},
year = {2020},
doi = {10.1051/ps/2020027},
mrnumber = {4187112},
zbl = {1455.62198},
language = {en},
url = {http://archive.numdam.org/articles/10.1051/ps/2020027/}
}
TY - JOUR AU - Deschatre, Thomas AU - Féron, Olivier AU - Hoffmann, Marc TI - Estimating fast mean-reverting jumps in electricity market models JO - ESAIM: Probability and Statistics PY - 2020 SP - 963 EP - 1002 VL - 24 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/ps/2020027/ DO - 10.1051/ps/2020027 LA - en ID - PS_2020__24_1_963_0 ER -
%0 Journal Article %A Deschatre, Thomas %A Féron, Olivier %A Hoffmann, Marc %T Estimating fast mean-reverting jumps in electricity market models %J ESAIM: Probability and Statistics %D 2020 %P 963-1002 %V 24 %I EDP-Sciences %U http://archive.numdam.org/articles/10.1051/ps/2020027/ %R 10.1051/ps/2020027 %G en %F PS_2020__24_1_963_0
Deschatre, Thomas; Féron, Olivier; Hoffmann, Marc. Estimating fast mean-reverting jumps in electricity market models. ESAIM: Probability and Statistics, Tome 24 (2020), pp. 963-1002. doi : 10.1051/ps/2020027. http://archive.numdam.org/articles/10.1051/ps/2020027/
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