This paper presents a novel approach for modelling electricity spot and forward prices based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the dynamics, but the spot and the forward price directly, where we focus on models which are stationary in time. We give a detailed account on the probabilistic properties of the new model and we discuss martingale conditions and change of measure within the new model class. Also, we show how the models for the spot and the forward price are related to each other in this new framework.
Keywords: Ambit fields; Electricity markets; Spot price; Forward price
Biography: Almut Veraart is an Assistant Professor at Aarhus University in Denmark. She is affiliated with both the Center for Research in Econometric Analysis of Time Series (CREATES) at the School of Economics and Management and with the Thiele Centre for Applied Mathematics in Natural Science at the Department of Mathematical Sciences at Aarhus University. Before coming to Aarhus she studied mathematics, statistics and economics at the University of Ulm (Germany) and at the University of Oxford (UK) and she obtained a DPhil in Statistics from the University of Oxford.