A survey of electricity spot and futures price models for risk management applications

TL;DR

This survey reviews various electricity spot and futures price models developed since the market opening, focusing on their application in financial pricing and risk management, and classifies them based on their ability to capture price dynamics.

Contribution

It provides a comprehensive classification of electricity price models, aiding practitioners in selecting appropriate models for risk management tasks.

Findings

Models vary in their ability to represent price dynamics.

Classification helps in choosing suitable models for specific risk management needs.

The survey covers models proposed since the opening of power markets.

Abstract

This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to represent the random behavior of prices and some of their characteristics. In particular, this classification helps users to choose among the most suitable models for their risk management problems.