Marcus Eriksson: Green certificates in the Nord Pool market

Abstract: Green certificates was introduced in the Nord Pool market as a pure financial object, with the purpose to reach a desirable production of electricity originating from renewable resources. First we present the idea with green certificates. Then the main objective of this talk will be to find a model for the certificates price dynamics, based on daily data collected during 2009-2013 from the Nord Pool market. Our analysis suggests that the Schwartz dynamics with stochastic volatility is a realistic model.