Related papers: Modelling multi-period carbon markets using singul…
Motivated by earlier work on the use of fully-coupled Forward-Backward Stochastic Differential Equations (henceforth FBSDEs) in the analysis of mathematical models for the CO2 emissions markets, the present study is concerned with the…
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of scenarios, including enhancement of yield due to trader…
We propose an operating envelopes (OEs) aware energy community market mechanism that dynamically charges/rewards its members based on two-part pricing. The OEs are imposed exogenously by a regulated distribution system operator (DSO) on the…
In the present study, for the first time, an effort sharing approach based on Inertia and Capability principles is proposed to assess European Union (EU27) carbon budget distribution among the Member States. This is done within the context…
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in…
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…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
Embodied carbon is the total carbon released from the processes associated with a product from cradle to gate. In many industry sectors, embodied carbon dominates the overall carbon footprint. Embodied carbon accounting, i.e., to estimate…
The intraday (ID) electricity market has received an increasing attention in the recent EU electricity-market discussions. This is partly because the uncertainty in the underlying power system is growing and the ID market provides an…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
Carbon taxes are increasingly popular among policymakers but remain politically contentious. A key challenge relates to their distributional impacts; the extent to which tax burdens differ across population groups. As a response, a growing…
In this paper, motivated by modelling currency exchange markets with matrix-valued stochastic processes, matrix-valued stochastic differential equations (SDEs) are formulated. This is done based on the matrix trace, as for the purpose of…
Consumption-based carbon emission measures aim to account for emissions associated with power transmission from distant regions, as opposed to measures which only consider local power generation. Outlining key differences between two…
We examine the problem of modeling and forecasting European Day-Ahead and Month-Ahead natural gas prices. For this, we propose two distinct probabilistic models that can be utilized in risk- and portfolio management. We use daily pricing…
We critically explore the applicability of a recently proposed framework to sample the quantum dynamics of a many-body quantum system interacting with light by stochastic trajectories, applying it to the closed and open Tavis-Cummings model…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
Uncertainty quantification in forecasting represents a topic of great importance in energy trading, as understanding the status of the energy market would enable traders to directly evaluate the impact of their own offers/bids. To this end,…
Cost optimal scenarios derived from models of a highly renewable electricity system depend on the specific input data, cost assumptions and system constraints. Here this influence is studied using a techno-economic optimisation model for a…
A new asymptotic expansion scheme for backward SDEs (BSDEs) is proposed.The perturbation parameter is introduced just to scale the forward stochastic variables within a BSDE. In contrast to the standard small-diffusion asymptotic expansion…