SIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 928-957, January 2020.
We propose a multifactor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium, and correlation between different forwards is fully explicit, and the model can be calibrated to observed electricity forward curves easily and well. Electricity markets suffer from nonstorability and poor medium- to long-term liquidity. Therefore, we suggest a rolling hedge which only uses liquid forward contracts and is risk-minimizing in the sense of Föllmer and Schweizer. We calibrate the model to over eight years of German power calendar year forward curves and investigate the quality of the risk-minimizing hedge over various time horizons.

中文翻译：

---

具有交付期限的长期电力远期的多因素多项式框架

SIAM金融数学杂志，第11卷，第3期，第928-957页，2020年1月。
我们提出了一个多因素多项式框架来对带有交付期的长期电力合同进行建模和对冲。该框架具有几个优点：远期，风险溢价的计算以及不同远期之间的相关性是完全明确的，并且可以轻松，良好地将模型校准为观察到的电力远期曲线。电力市场遭受不可存储性和中长期流动性差的困扰。因此，我们建议采用仅使用流动远期合约并且在Föllmer和Schweizer的意义上将风险最小化的滚动对冲。我们将模型校准为超过八年的德国权力日历年度前瞻曲线，并研究在不同时间范围内将风险最小化对冲的质量​​。