Doctoral Disertation
Martin Povh, PhD

Martin Povh, PhD
Policy Officer, Team Leader - Market Codes, ACER

Stochastic modelling of long-term electricity forward prices

In contrast to forwards and futures on storable commodities, prices in long-term electricity forwards exhibit a dynamics different to that of short-term and mid-term prices. Since electricity cannot be stored, the supply and demand shocks in the spot prices are not transferred to the long-term forward prices, as it is usually in the case of storable commodities. While forward prices of storable commodities ca be modelled sufficiently with spot prices and storage costs, other factory are needed to explain the dynamics of long-term electricity forward prices.