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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 independent random variables. We provide…
The recent energy crisis starting in 2021 led to record-high gas, coal, carbon and power prices, with electricity reaching up to 40 times the pre-crisis average. This had dramatic consequences for operational and risk management prompting…
Deploying distributed energy resources (DERs) and other smart grid technologies have increased the complexity of power grids and made them more vulnerable to natural disasters and cyber-physical-human (CPH) threats. To deal with these…
The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…
This paper presents a scenario based robust optimization framework for short term energy scheduling in electricity intensive industrial plants, explicitly addressing uncertainty in planning decisions. The model is formulated as a two-stage…
Within the last few years, the trend towards more distributed, renewable energy sources has led to major changes and challenges in the electricity sector. To ensure a stable electricity distribution in this changing environment, we propose…
Probabilistic electricity price forecasting (PEPF) is vital for short-term electricity markets, yet the multivariate nature of day-ahead prices - spanning 24 consecutive hours - remains underexplored. At the same time, real-time…
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing challenges. One challenge especially for investment decisions is…
This study presents a deep reinforcement learning approach for global hedging of long-term financial derivatives. A similar setup as in Coleman et al. (2007) is considered with the risk management of lookback options embedded in guarantees…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
Electricity prices strongly depend on seasonality of different time scales, therefore any forecasting of electricity prices has to account for it. Neural networks have proven successful in short-term price-forecasting, but complicated…
Short term load forecasting has an essential medium for the reliable, economical and efficient operation of the power system. Most of the existing forecasting approaches utilize fixed statistical models with large historical data for…
We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a…
The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchanges have been developing further trading possibilities,…
The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the…
The rapid electrification of residential heating and mobility sectors is expected to drive the existing distribution grid assets beyond their planned operating conditions. This change will also reveal new potentials through sector coupling,…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
Retailers and major consumers of electricity generally purchase an important percentage of their estimated electricity needs years ahead in the forward market. This long-term electricity procurement task consists of determining when to buy…
Electricity load forecasting enables the grid operators to optimally implement the smart grid's most essential features such as demand response and energy efficiency. Electricity demand profiles can vary drastically from one region to…