Related papers: Calibration of One- and Two-Factor Models For Valu…
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…
There is a growing interest in the integration of energy infrastructures to increase systems' flexibility and reduce operational costs. The most studied case is the synergy between electric and heating networks. Even though integrated heat…
The energetic flexibility of electric energy resources can be exploited when trading on wholesale energy and ancillary service markets. This paper considers the problem of a Balance Responsible Party to maximize its profit from trading on…
Based on the concept of self-decomposability, we extend some recent multivariate L\'evy models built using multivariate subordination with the aim of capturing situations in which a sudden event in one market is propagated onto related…
The increasing penetration level of energy generation from renewable sources is demanding for more accurate and reliable forecasting tools to support classic power grid operations (e.g., unit commitment, electricity market clearing or…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
We adopt the perspective of an aggregator, which seeks to coordinate its purchase of demand reductions from a fixed group of residential electricity customers, with its sale of the aggregate demand reduction in a two-settlement wholesale…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
Simultaneous concurrence of extreme values across multiple climate variables can result in large societal and environmental impacts. Therefore, there is growing interest in understanding these concurrent extremes. In many applications, not…
Bilevel programs with spatial price equilibrium constraints are strategic models that consider a price competition at the lower level. These models find application in facility location-price models, optimal bidding in power networks, and…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
Coordination of distributed energy resources is critical for electricity grid management. Although nodal pricing schemes can mitigate congestion and voltage deviations, the resulting prices are not necessarily equitable. In this work, we…
The electricity market is threatened by supply scarcity, which may lead to very sharp price spikes in the spot market. On the other hand, demand-side's activities could effectively mitigate the supply scarcity and absorb most of these…
Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…
Energy costs are a major factor in the total cost of ownership (TCO) for high-performance computing (HPC) systems. The rise of intermittent green energy sources and reduced reliance on fossil fuels have introduced volatility into…
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and markets. In the literature, however, it is rarely incorporated…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
It is well known that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic…