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Using Environmental Emissions Permit Prices to Raise Electricity Prices: Evidence from the California Electricity Market
Raise Electricity Prices California Electricity Market
2015/7/31
This paper analyzes the extent to which the conditions in the emissions permit market for
nitrogen oxides (NOx) operated by the South Coast Air Quality Management District
(SCAQMD) in the Los Ange...
Estimating the Customer-Level Demand for Electricity Under Real-Time Market Prices
Market Prices Customer-Level
2015/7/31
This paper presents estimates of the customer-level demand for electricity by industrial and
commercial customers purchasing electricity according to the half-hourly energy prices from the
England a...
Options for Short-Term Price Determination in the Brazilian Wholesale Electricity Market: Report Prepared for Camara de Comercialização de Energia Elétrica (CCEE)
Price Determination Brazilian Wholesale Electricity
2015/7/31
This report was commissioned by the Camara de Comercialização de Energia Elétrica
(CCEE), the market operator for the Brazilian electricity supply industry, to study the options for
shor...
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...