Related papers: Baseline hydropower generation offer curves
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
In this paper we introduce a class of Markov decision processes that arise as a natural model for many renewable resource allocation problems. Upon extending results from the inventory control literature, we prove that they admit a closed…
In this paper, we discuss the passage to hydrodynamic equations for kinetic models of opinion formation. The considered kinetic models feature an opinion density depending on an additional microscopic variable, identified with the personal…
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…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
In this work we analyse a stochastic control problem for the valuation of a natural gas power station while taking into account operating characteristics. Both electricity and gas spot price processes exhibit mean-reverting spikes and…
This note summarizes the optimization formulations used in the study of Markov decision processes. We consider both the discounted and undiscounted processes under the standard and the entropy-regularized settings. For each setting, we…
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of…
Optimizing the total cost of power systems is a common tool for network operation and planning. Besides valuable information about how to run and possibly expand a power system, the optimization provides an optimal Locational Marginal Price…
In this paper we present a probabilistic analysis framework to estimate behind-the-meter photovoltaic generation in real time. We develop a forward model consisting of a spatiotemporal stochastic process that represents the photovoltaic…
In [1], a single-period co-optimization model of energy and reserve is considered to better illustrate the properties of the co-optimization model and the associated market mechanism. To make the discussion more general, in this paper, the…
In the Markov decision process model, policies are usually evaluated by expected cumulative rewards. As this decision criterion is not always suitable, we propose in this paper an algorithm for computing a policy optimal for the quantile…
The acquisition of charge by aerosol particles is well-known to be stochastic in nature. We review the principles of charging using the conceptually and computationally clear language of continuous time Markov processes. A novel numeric…
Power system models are a valuable and widely used tool to determine cost-minimal future operation and investment under political or ecological boundary conditions. Yet they are silent about the allocation of costs of single assets, as…
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…
In this paper we consider pricing of insurance contracts for breast cancer risk based on three multiple state models. Using population data in England and data from the medical literature, we calibrate a collection of semi-Markov and Markov…
We consider the problem of managing a hydroelectric power plant system. The system consists of N hydropower dams, which all have some maximum production capacity. The inflow to the system is some stochastic process, representing the…
This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a discrete time Markov chain with the same…
This paper develops a feature-driven model for hybrid power plants, enabling them to exploit available contextual information such as historical forecasts of wind power, and make optimal wind power and hydrogen trading decisions in the…
The adoption of market-based principles in resource management systems for computational infrastructures such as grids and clusters allows for matching demand and supply for resources in a utility maximizing manner. As such, they offer a…