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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
As both a regulator and an academic, Fred Kahn argued that end-use electricity consumers should face prices that reflect the time-varying marginal costs of generating electricity. This has been very s...
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Valuation of Clean Spread Options Linking Electricity Emissions Fuels Pricing of Securities
2012/6/4
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The nove...
Electricity price modeling and asset valuation: a multi-fuel structural approach
Electricity price modeling asset valuation multi-fuel structural approach Pricing of Securities
2012/6/4
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the pri...
Environmental Sustainability Assessment of Electricity From Fossil Fuel Combustion: Carbon Footprint
Carbon Footprint Environmental Sustainability Assessment Fossil Fuels Combustion Environmental Burden
2013/2/25
Emissions of greenhouse gases from electricity production should be reduced since climate change has became a big concern in developed countries. Carbon footprint is used as environmental index measur...
Joint Modelling of Gas and Electricity spot prices
Electricity markets spot price modelling ergodic diffusion
2010/11/2
The recent liberalization of the electricity and gas markets has resulted in the growth of
energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity
spot prices...
Deregulated Electricity Market and Auctions: The Italian Case
Electricity Market Auctions Oligopoly Deregulation
2013/2/23
The Electricity Market (in Europe) undergoes a period of transformations never seen before. The competitive model suggested by the European Commission is based on a gradual increase in the classes of ...
Game-Theoretic Modeling of Electricity Markets in Central Europe
Prediction model algorithmic game theory modeling
2010/12/6
The paper deals with the methodology of computer modeling and simulation of complex markets with electricity and related products. The methodology is presented using a particular configuration of Cen...
THE ANATOMY OF MARKET POWER IN ELECTRICITY MARKETS WITH HYDROPOWER AS A DOMINATING TECHNOLOGY
Hydropower thermal power market power flexibility-corrected price competitive fringe.
2014/6/25
The problem of optimal management of a water reservoir by a hydropower producer is necessarily a dynamic one since water can be transferred between periods. A hydropower producer being a monopolist c...
The Economics of Electricity Networks and the Evolution of the U.S. Electric Utility Industry, 1882-1935
The Economics Electricity Networks Evolution the U.S. Electric Utility Industry
2010/10/8
The widespread and costly electricity blackout in the Midwestern and Northeastern United States and Ontario, Canada in August 2003 highlighted the imperfectly constructed North American electricity tr...
Cartel Stability in the Electricity Industry: The Case of Electricity Distribution in Madrid in the Inter-War Period
Cartel Stability Electricity Industry Electricity Distribution
2010/10/8
The objective of this paper is to analyze the factors that led to cartel stability in the electricity industry in Madrid from 1913 to the Civil War. This electricity distribution cartel is of interest...
Global Strategies and National Performance: Explaining the Singularities of the Spanish Electricity Supply Industry
Global Strategies National Performance Spanish Electricity Supply Industry
2010/10/8
In this article I compare the trajectories of two pioneers,contemporaries who were leaders of the electricity industry in their respective countries: Samuel Insull, who led the U.S. Chicago
Edison Co...
INTERNATIONAL BENCHMARKING OF ELECTRICITY DISTRIBUTION UTILITIES
Electricity utility benchmarking efficiency DEA Malmquist productivity index
2014/6/25
Benchmarking by means of applying the DEA model is appearing as an interesting alternative for regulators under the new regimes for electricity distributors. A sample of large electricity distribution...