Related papers: Electricity Spot Prices Forecasting Using Stochast…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
Differential equations can be used to construct predictive models of a diverse set of real-world phenomena like heat transfer, predator-prey interactions, and missile tracking. In our work, we explore one particular application of…
We propose an enhancement to wholesale electricity markets whereby the exposure of consumers to increasingly large and volatile consumer payments arising as a byproduct of volatile real-time net loads -- i.e., loads minus renewable outputs…
Researchers and electricity sector practitioners frequently require the supply curve of electricity markets and the price elasticity of supply for purposes such as price forecasting, policy analyses or market power assessment. It is common…
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool…
In this paper, we develop a new approach to the very short-term point forecasting of electricity prices in the continuous market. It is based on the Support Vector Regression with a kernel correction built on additional forecast of…
In this paper, a stochastic model with regime switching is developed for solar photo-voltaic (PV) power in order to provide short-term probabilistic forecasts. The proposed model for solar PV power is physics inspired and explicitly…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
While the field of electricity price forecasting has benefited from plenty of contributions in the last two decades, it arguably lacks a rigorous approach to evaluating new predictive algorithms. The latter are often compared using unique,…
This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression…
In this paper we introduce a multilevel specification with stochastic volatility for repeated cross-sectional data. Modelling the time dynamics in repeated cross sections requires a suitable adaptation of the multilevel framework where the…
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an It\^{o} process (the price process), and another non-homogeneous diffusion process (the exogenous…
Energy storage are strategic participants in electricity markets to arbitrage price differences. Future power system operators must understand and predict strategic storage arbitrage behaviors for market power monitoring and capacity…
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
The integration of renewable energy into electricity markets poses significant challenges to price stability and increases the complexity of market operations. Accurate and reliable electricity price forecasting is crucial for effective…
An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. The higher variability of power production via renewables leads to a rise in ancillary service costs over…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
Recently, chance-constrained stochastic electricity market designs have been proposed to address the shortcomings of scenario-based stochastic market designs. In particular, the use of chance-constrained market-clearing avoids trading off…