Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal International Journal of Finance Research
Prabakaran, Sellamuthu
Unknown Affiliation
Economics, Econometrics & Finance Social Sciences

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Description of Colombian Electricity Pricing Derivatives Prabakaran, Sellamuthu
International Journal of Finance Research Vol. 2 No. 3 (2021): International Journal of Finance Research
Publisher : Training & Research Institute - Jeramba Ilmu Sukses (TRI-JIS)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47747/ijfr.v2i3.394

Abstract

Electricity markets are becoming a popular field of research amongst academics because of the lack of appropriate models for describing electricity price behavior and pricing derivatives instruments. Models for price dynamics must consider seasonality and spiky behavior of jumps which seem hard to model by standard jump process. Without good models for electricity price dynamics, it is difficult to think about good models for futures, forward, swaps and option pricing. In this paper we attempt to introduce an algorithm for pricing derivatives to intuition from Colombian electricity market. The main ambition of this study is fourfold: 1) First we begin our approach through to simple stochastic models for electricity pricing. 2) Next, we derive analytical formulas for prices of electricity derivatives with different derivatives tools. 3) Then we extent short of the model for price risk in the electricity spot market 4) Finally we construct the model estimation under the physical measures for Colombian electricity market. And this paper end with conclusion.
Co-Authors