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In this paper we introduce a flexible HJM-type framework that allows for consistent modelling of intraday, spot, futures, and option prices. This framework is based on stochastic processes with economic interpretations and consistent with…
In energy markets, joint historical and implied calibration is of paramount importance for practitioners, yet notoriously challenging due to the need to align historical correlations of futures contracts with implied volatility smiles from…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
The scheduling and operation of power system becomes prominently complex and uncertain, especially with the penetration of distributed power. Load forecasting matters to the effective operation of power system. This paper proposes a novel…
Continuous intraday electricity markets play an increasingly important role in short-term trading and balancing, yet decision-making under rapidly evolving price dynamics remains challenging. This paper proposes a comprehensive framework…
Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks.…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
We develop a probabilistic framework for joint simulation of short-term electricity generation from renewable assets. In this paper we describe a method for producing hourly day-ahead scenarios of generated power at grid-scale across…
California has committed to ambitious decarbonization targets across multiple sectors, including decarbonizing the electrical grid by 2045. In addition, the medium- and heavy-duty truck fleets are expected to see rapid electrification over…
This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in Heath-Jarrow-Morton (HJM) models in the…
Given the historically static nature of low-voltage networks, distribution network companies do not possess tools for dealing with an increasingly variable demand due to the high penetration of distributed energy resources (DER). Within…
This paper develops risk-averse models to support system operators in planning and operating the electricity grid under uncertainty from renewable power generation. We incorporate financial risk hedging using conditional value at risk…
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We…
Flexibility options, such as demand response, energy storage and interconnection, have the potential to reduce variation in electricity prices between different future scenarios, therefore reducing investment risk. Moreover, investment in…
The European electricity power grid is transitioning towards renewable energy sources, characterized by an increasing share of off- and onshore wind and solar power. However, the weather dependency of these energy sources poses a challenge…
Long-term load forecasting plays a vital role for utilities and planners in terms of grid development and expansion planning. An overestimate of long-term electricity load will result in substantial wasted investment in the construction of…
This paper extends the research regarding the determination of the feasible operation region under the impact of electric vehicles. Thereby, the active and reactive power flexibility potentials of EV for alternating current and direct…
There is an intrinsic value in higher integration of multi-carrier energy systems (especially gas and electricity), to increase operational flexibility in the electricity system and to improve allocation of resources in gas and electricity…
The transition to a fully renewable energy grid requires better forecasting of demand at the low-voltage level to increase efficiency and ensure reliable control. However, high fluctuations and increasing electrification cause huge forecast…