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This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term…
Predicting the demand for electricity with uncertainty helps in planning and operation of the grid to provide reliable supply of power to the consumers. Machine learning (ML)-based demand forecasting approaches can be categorized into (1)…
In power markets, Green Power Purchase Agreements have become an important contractual tool of the energy transition from fossil fuels to renewable sources such as wind or solar radiation. Trading Green PPAs exposes agents to price risks…
The ongoing evolution of the electric power systems brings about the need to cope with increasingly complex interactions of technical components and relevant actors. In order to integrate a more comprehensive spectrum of different aspects…
Since the 1990s, widespread introduction of central (wholesale) electricity markets has been seen across multiple continents, driven by the search for efficient operation of the power grid through competition. The increase of renewables has…
As the proportion of total power supplied by renewable sources increases, it gets more costly to use reserve generation to compensate for the variability of renewables like solar and wind. Hence attention has been drawn to exploiting…
The integration of renewable sources poses challenges at the operational and economic levels of the power grid. In terms of keeping the balance between supply and demand, the usual scheme of supply following load may not be appropriate for…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr2014static} derived a spanning relation between a given…
The large-scale access of electric vehicles to the power grid not only provides flexible adjustment resources for the power system, but the temporal uncertainty and distribution complexity of their energy interaction pose significant…
As the penetration of distributed energy resources (DERs) increases, harnessing their flexibility becomes critical for power system operations. Virtual power plants (VPPs) offer a promising solution. However, most existing scheduling tools…
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long…
The paper examines the performance of regression models (OLS linear regression, Ridge regression, Random Forest, and Fully-connected Neural Network) on the prediction of CMA (Conservative Minus Aggressive) factor premium and the performance…
This paper proposes a simple and flexible storage model for use in a variety of multi-period optimal power flow problems. The proposed model is designed for research use in a broad assortment of contexts enabled by the following key…
Long-duration energy storage (LDES) faces significant revenue volatility that impedes investment. This paper evaluates four contract-based support mechanisms using an equilibrium model with risk-averse investors and incomplete risk markets.…
Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows. Here, in the setting of a Dutch mortgage provider, we…
Battery sizing and siting problems are computationally challenging due to the need to make long-term planning decisions that are cognizant of short-term operational decisions. This paper considers sizing, siting, and operating batteries in…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming,…
The financial viability of renewable energy projects is challenged by the variability and unpredictability of production due to weather fluctuations. This paper proposes a novel risk management framework combining parametric insurance and…