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Ten Myths About Competitive Electricity Markets: Lessons for Designing Congestion Management Protocols
Competitive Electricity Markets Management
2015/7/31
In the extreme cases mentioned above [industry re-structuring of the
form implemented in the United Kingdom], many of the dispatch and
scheduling methods we are going to discuss will need to be re-t...
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...
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...
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...