C - Mathematical and Quantitative MethodsReturn

There is a need to focus on electricity derivative trading, because this is an important and expanding field. The aim of this paper is long-term forecasting of the daily futures prices. Two approaches were used for this, namely the use of spot price forecasting to model the future prices and forecasting future prices directly. We will show on an EEX case study that better results can be achieved by the first approach, where we use mean-reverting, jump-diffusion and regime-switching models for spot price forecasting. The best results of spot price forecasting are achieved by the jump-diffusion model, where we will present the benefit of the use of filtered calibration data.