Related papers: Polynomial processes for power prices

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…

We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…

This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have gained on popularity as they enable to hedge against both…

Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…

This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flexible forms of their serial correlation, including both…

Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a…

We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…

In this paper we define a class of polynomial functors suited for constructing coalgebras representing processes in which uncertainty plays an important role. In these polynomial functors we include upper and lower probability measures,…

Despite substantial improvement in the development of forecasting approaches, conditional and dynamic uncertainty estimates ought to be accommodated in decision-making in power system operation and market, in order to yield either…

Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…

The paper investigates the problem of performing correlation analysis when the number of observations is very large. In such a case, it is often necessary to combine the random observations to achieve dimensionality reduction of the…

We consider multi-task regression models where the observations are assumed to be a linear combination of several latent node functions and weight functions, which are both drawn from Gaussian process priors. Driven by the problem of…

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

We describe the general inflationary dynamics that can arise with a single, canonically coupled field where the inflaton potential is a 4-th order polynomial. This scenario yields a wide range of combinations of the empirical spectral…

We consider the pricing of energy spread options for spot prices following an exponential Ornstein-Uhlenbeck process driven by a sum of independent multivariate variance gamma processes, which gives rise to mean-reverting, infinite activity…

This paper presents an analytical method for calculating the operational value of an energy storage device under multi-stage price uncertainties. Our solution calculates the storage value function from price distribution functions directly…

We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…

The behavior of complex systems is one of the most intriguing phenomena investigated by recent science; natural and artificial systems offer a wide opportunity for this kind of analysis. The energy conversion is both a process based on…

This working paper presents a comprehensive study on the development and analysis of various electricity market models, focusing on continuous, discrete, and fractional-order approaches. The continuous model captures the ongoing…

This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a discrete time Markov chain with the same…