Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0455003
Funding Status
Closed
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Funded Activity Summary
Models for Australian Electricity Derivatives. Electricity derivatives, such as electricity futures and options are used to manage the risk associated with volatility in prices of electricity. This project aims to develop models for pricing electricity derivatives specifically suited for Australia. Because of the non-storable nature of electricity the standard option pricing principle of "no-arbitrage" does not apply to electricity options, such as caps and floors, but applies to options on electricity futures. Therefore a specific model is needed that takes into account the pricing principle of "no-arbitrage" and combines it with other factors that drive electricity prices. The novel element in this proposal is incorporation of the weather forecasts into the models for electricity options. As a result of this study appropriate models for electricity derivatives for various geographical regions in Australia will be developed.Funded Activity Details
Start Date: 2004
End Date: 12-2009
Funding Scheme: Linkage Projects
Funding Amount: $70,668.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Stochastic Analysis And Modelling | Statistics | Risk Theory | Applied Statistics
ANZSRC Socio-Economic Objective (SEO)
Finance and investment services | Energy systems analysis | Mathematical sciences |
