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Alberta Power Prices 15:10 Fri 9 Mar 07 | G08, Mathematics Building, University of Adelaide | Prof. Robert Elliott
Abstract...The pricing of electricity involves several interesting features. Apart from daily, weekly and seasonal fluctuations, power prices often exhibit large spikes. To some extent this is because electricity cannot be stored. We propose a model for power prices in the Alberta market. This involves a diffusion process modified by a factor related to a Markov chain which describes the number of large generators on line. The model is calibrated and future contracts priced.
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