Below is a list of references for Electricity Price Modelling. No books have been
included, nor have any more general references on pricing models or
mathematical techniques. -- Jack King November 7, 2005
 Brennan, M. and E. Schwartz (1985) “Evaluating Natural Resource Investments”,
Journal of Business, 58
 Eydeland, A. and H. Geman (1998) “Pricing Power Derivatives”, RISK, September
 Geman, H. and A. Roncoroni (2002) “A Class of Marked Point Processes for
Modelling Electricity Prices”, ESSEC Working Paper
 Geman, H. and O. Vasicek (2001) “Forwards and Futures on Non Storable
Commodities”, RISK, August
 N. Audet, P. Heiskanen, J. Keppo, I. Vehvil¨ainen (2004). Modeling electricity
forward curve dynam-ics in the Nordic market. In: Modelling Prices in Competitive
Electricity Markets, ed.: D. W. Bunn,Wiley, 251-265.
 M. Barlow (2002). A diffusion model for electricity prices. Mathematical Finance
12(4), 287-298 .
 F. E.Benth, L. Ekeland, R. Hauge, B. F. Nielsen (2003). On arbitrage-free pricing of
forward contracts in energy markets. Applied Mathematical Finance 10(4), 325-336
 K. Bhanot (2000). Behavior of power prices: Implications for the valuation and
hedging of financial contracts. The Journal of Risk 2, 43–62.
 M. Burger, B. Klar, A. M¨uller, G. Schindlmayr (2004). A spot market model for
pricing derivatives in electricity markets. Quantitative Finance 4, 109-122.
 M. Davison, C. L. Anderson, B. Marcus, K. Anderson (2002). Development of a
hybrid model for electrical power spot prices. IEEE Transactions on Power Systems
 H. Geman, A. Roncoroni (2002). A class of marked point processes for modelling
electricity prices. ESSEC Graduate Business School preprint.
 R. Huisman, C. de Jong (2003). Option pricing for power prices with spikes, Energy
Power Risk Management 7.11, 12–16.
 R. Huisman, R. Mahieu (2003). Regime jumps in electricity prices. Energy
Economics 25, 425–434.
 T. A. Johnsen (200