Analysis and development of pricing models for a stable energy supply
As a result of recent global events, the energy crisis in Germany has shown that the electricity markets can reach unexpectedly high price levels in a short space of time.
As electricity price modeling plays a key role in energy supply, this research project will examine practical aspects of price modeling and model calibration, among other things.
Electricity price models with calibration methods suitable for application are examined here. In particular, models that depict price jumps as a function of time are considered. These are primarily used by energy suppliers in trading, procurement and risk management.
During the calibration phase, the following factors should be focused on more closely:
A modular Electricity Price Modeling Framework was developed for this purpose, with which various price models and calibration methods can be tested.
The developed framework can be used for further development research and practical application. The results and the investigated price models serve as a basis for future research projects in the department and with industrial partners in the field of energy supply.
Fraunhofer Institute for Industrial Mathematics ITWM