Related papers: Valuation of electricity storage contracts using t…
Electricity price prediction plays a vital role in energy storage system (ESS) management. Current prediction models focus on reducing prediction errors but overlook their impact on downstream decision-making. So this paper proposes a…
Volatile electrical energy prices are a challenge and an opportunity for small and medium-size companies in energy-intensive industries. By using electrical energy storage and/or an adaptation of production processes, companies can…
This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…
We present an alternative formula to price European options through cosine series expansions, under models with a known characteristic function such as the Heston stochastic volatility model. It is more robust across strikes and as fast as…
The integration of large shares of electricity produced by non-dispatchable Renewable Energy Sources (RES) leads to an increasingly volatile energy generation side, with temporary local overproduction. The application of energy storage…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
The roll-out of stochastic renewable energy sources (RES) undermines the efficiency of power system and market operations. This paper proposes an approach to derive electricity prices that internalize RES stochasticity. We leverage a…
The Fourier cosine expansion (COS) method is used for pricing European options numerically very fast. To apply the COS method, a truncation range for the density of the log-returns need to be provided. Using Markov's inequality, we derive a…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…
Maintaining the stability of renewable-dominant power systems requires the procurement of virtual inertia services from non-synchronous resources (e.g., batteries, wind turbines) in addition to inertia traditionally provided by synchronous…
Electricity supply is not simply a matter of quantity, but a time lasting service that matches with a wave-like load curve. It logically deserves a pricing based on the curve per se rather than simply integral of load. This paper introduces…
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded…
Quantity and price risks are key uncertainties market participants face in electricity markets with increased volatility, for instance, due to high shares of renewables. From day ahead until real-time, there is a large variation in the best…
In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price $p(\tau)$. We use it to connect the classical theory of storage with the concept of a risk…
We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…
We show how to value both variable generation and energy storage to enable them to be integrated fairly and optimally into electricity capacity markets. We develop theory based on balancing expected energy unserved against costs of capacity…
The deployment of renewable energy technologies supposes the connection to the power grid of many new, distributed, and variable electricity production facilities. Among the investments deeply needed for a successful shift to clean energy,…
In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR) process. We then use the fast Fourier…
This letter introduces a method to manage energy storage in electricity grids. Starting from the stochastic characterization of electricity generation and demand, we propose an equation that relates the storage level for every time-step as…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…