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The electricity price modelling and derivatives pricing in the Nord Pool market

Volpe, Valeria ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO008.

An in-depth analysis of Nord Pool electricity price has been outlined. This market is the oldest and one of the largest European electricity exchange, allowing to observe a consistently long time series. The main contributions of this work are: (a) A wavelet-based algorithm, named Rα-WTMM, to automatically detect spikes on a time series. The WTMM algorithm, used in signal processing to detect...