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Coping with prolonged periods of low availability of wind and solar power, also referred to as variable renewable energy droughts or "Dunkelflaute", emerges as a key challenge for realizing decarbonized energy systems based on renewable…
This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discretetime ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian…
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
In order to reach EU's goal of zero emissions in 2050, the energy system will go through a significant transition over the next decades. To substitute fossil energy carriers, renewable energy sources will be mainly integrated in the power…
This paper presents a convex, multi-period, AC-feasible Optimal Power Flow (OPF) framework that robustly dispatches flexible demand-side resources in unbalanced distribution feeders against uncertainty in very-short timescale solar…
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defined by price and intrinsic liquidity. We establish a…
The accurate prediction of short-term electricity prices is vital for effective trading strategies, power plant scheduling, profit maximisation and efficient system operation. However, uncertainties in supply and demand make such…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…
With the climate change challenges, transport network companies started to electrify their fleet to reduce CO2 emissions. However, such an ecological transition brings new research challenges for dynamic electric fleet charging management…
Accurate electrical load forecasting is crucial for optimizing power system operations, planning, and management. As power systems become increasingly complex, traditional forecasting methods may fail to capture the intricate patterns and…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however,…
Natural hedging allows life insurers to manage longevity risk internally by offsetting the opposite exposures of life insurance and annuity liabilities. Although many studies have proposed natural hedging strategies under different…
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…
This paper proposes a polynomial-time algorithm to construct the monotone stepwise curve that minimizes the sum of squared errors with respect to a given cloud of data points. The fitted curve is also constrained on the maximum number of…
Near-future electric distribution grids operation will have to rely on demand-side flexibility, both by implementation of demand response strategies and by taking advantage of the intelligent management of increasingly common small-scale…
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally from the optimum.…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…