Related papers: Baseline hydropower generation offer curves
Weconsider Markov decision processes arising from a Markov model of an underlying natural phenomenon. Such phenomena are usually periodic (e.g. annual) in time, and so the Markov processes modelling them must be time-inhomogeneous, with…
Nowadays hydroelectric energy is one of the best energy sources: it is cleaner, safer and more programmable than other sources. For this reason, its manage could not be done in an approssimative way, but advance mathematical models must be…
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given…
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, particularly in electricity and future oil prices. In this paper…
This paper develops risk-averse models to support system operators in planning and operating the electricity grid under uncertainty from renewable power generation. We incorporate financial risk hedging using conditional value at risk…
The increasing penetration level of energy generation from renewable sources is demanding for more accurate and reliable forecasting tools to support classic power grid operations (e.g., unit commitment, electricity market clearing or…
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition…
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows…
In the evolving power system, where new renewable resources continually displace conventional generation, conventional hydropower resources can be an important asset that helps to maintain reliability and flexibility. Varying climatic…
We expand the renewable technology model palette and present a validated high resolution hydro power time series model for energy systems analysis. Among the popular renewables, hydroelectricity shows unique storage-like flexibility, which…
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…
Wind energy is becoming a top contributor to the renewable energy mix, which raises potential reliability issues for the grid due to the fluctuating nature of its source. To achieve adequate reserve commitment and to promote market…
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…
In order to reach the supply/demand balance, electricity providers need to predict the demand and production of electricity at different time scales. This implies the need of modeling weather variables such as temperature, wind speed, solar…
In response to the increasing deployment of battery storage systems for cost reduction and grid stress mitigation, this study presents the development of a new real-time Markov decision process model to efficiently schedule battery systems…
Wind power generation exhibits a strong temporal variability, which is crucial for system integration in highly renewable power systems. Different methods exist to simulate wind power generation but they often cannot represent the crucial…
We introduce a general, simple, and computationally efficient framework for predicting day-ahead supply and demand merit-order curves, from which both point and probabilistic electricity price forecasts can be derived. We conduct a rigorous…
We construct a family of genealogy-valued Markov processes that are induced by a continuous-time Markov population process. We derive exact expressions for the likelihood of a given genealogy conditional on the history of the underlying…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…