Related papers: Pricing Reliability Options under different electr…
In the context of stochastic volatility models, we study representation formulas in terms of expectations for the power series' coefficients associated to the call price-function. As in a recent paper by Antonelli and Scarlatti the…
We present a mechanism for reservations of bursty resources that is both truthful and robust. It consists of option contracts whose pricing structure induces users to reveal the true likelihoods that they will purchase a given resource.…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
Modeling price risks is crucial for economic decision making in energy markets. Besides the risk of a single price, the dependence structure of multiple prices is often relevant. We therefore propose a generic and easy-to-implement method…
Potential of electrical loads in providing grid ancillary services is often limited due to the uncertainties associated with the load behavior. A knowledge of the expected uncertainties with a load control program would invariably yield to…
Electricity markets currently fail to incorporate preferences of buyers, treating polluting and renewable energy sources as having equal social benefit under a system of uniform clearing prices. Meanwhile, renewable energy is prone to…
This paper contains two parts: the description of a real electrical system, with many redundancies, reconfigurations and repairs, then the description of a reliability model of this system, based on the BDMP (Boolean logic Driven Markov…
In pursuit of carbon neutrality, many countries have adopted renewable portfolio standards to facilitate the integration of renewable energy. However, increasing penetration of renewable energy resources will also pose higher requirements…
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market. Via a nonlinear analysis, and using a…
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C…
We consider the use of pricing as a regulatory mechanism when an unknown number of autonomous agents compete for access to a shared resource (possibly limited in volume or capacity). In standard dynamic pricing control systems, an…
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…
The capacity market, a marketplace to exchange available generation capacity for electricity production, provides a major revenue stream for generators and is adopted in several U.S. regions. A subject of ongoing debate, the capacity market…
We describe a model of a communication network that allows us to price complex network services as financial derivative contracts based on the spot price of the capacity in individual routers. We prove a theorem of a Girsanov transform that…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
With the rapid development of electricity markets, price volatility has significantly increased, making accurate forecasting crucial for power system operations and market decisions. Traditional linear models cannot capture the complex…
As the popularity of electric vehicles increases, the demand for more power can increase more rapidly than our ability to install additional generating capacity. In the long term we expect that the supply and demand will become balanced.…
In the transition toward a sustainable power system, renewable-based Virtual Power Plants (RVPPs) have emerged as a promising solution to the challenges of integrating renewable energy sources into electricity markets. Their viability,…
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying…