Modelling the Nordic Electricity Market using Infinite - Dimensional Stochastic PDE:s

Examensarbete för masterexamen

Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.12380/230105
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Type: Examensarbete för masterexamen
Master Thesis
Title: Modelling the Nordic Electricity Market using Infinite - Dimensional Stochastic PDE:s
Authors: Källén, Jonas
Abstract: The prices of energy futures tend to have a noise structure that cannot easily be described with only a few factors. Therefore an infinite{dimensinoal model has been used to model and simulate the price of energy futures as paths of infinite{dimensional L2{ valued stochastic processes was made. The simulations agreed with previous attempts. The parameters of the model was then fitted to real price data. The results shared some features with the recorded prices.
Keywords: Matematik;Grundläggande vetenskaper;Mathematics;Basic Sciences
Issue Date: 2016
Publisher: Chalmers tekniska högskola / Institutionen för matematiska vetenskaper
Chalmers University of Technology / Department of Mathematical Sciences
URI: https://hdl.handle.net/20.500.12380/230105
Collection:Examensarbeten för masterexamen // Master Theses



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