A polynomial diffusion model with quadratic spot prices yields explicit long-term electricity forward prices, risk premia, and a liquidity-aware risk-minimizing rolling hedge, calibrated to German calendar-year data.
Mullen, Brian G
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A multi-factor polynomial framework for long-term electricity forwards with delivery period
A polynomial diffusion model with quadratic spot prices yields explicit long-term electricity forward prices, risk premia, and a liquidity-aware risk-minimizing rolling hedge, calibrated to German calendar-year data.