Related papers: Energy price risk management
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
The problem of heat system pricing is considered. A direct extension of locational marginal prices (LMP) in electricity markets to heat systems may lead to revenue inadequate issues. The underlying reason for such a problem is that, unlike…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
Should the organization, design and functioning of electricity markets be taken for granted? Definitely not. While decades of evolution of electricity markets in countries that committed early to restructure their electric power sector made…
Wholesale electricity market designs in practice do not provide the market participants with adequate mechanisms to hedge their financial risks. Demanders and suppliers will likely face even greater risks with the deepening penetration of…
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
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…
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…
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…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
Energy costs are a major factor in the total cost of ownership (TCO) for high-performance computing (HPC) systems. The rise of intermittent green energy sources and reduced reliance on fossil fuels have introduced volatility into…
This paper focuses on the problem of energy imbalance management in amicrogrid. The problem is investigated from the power market perspective. Unlike the traditional power grid, a microgrid can obtain extra energy froma renewable energy…
The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…
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…
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods,…
In the restructured electricity industry, electricity pooling markets are an oligopoly with strategic producers possessing private information (private production cost function). We focus on pooling markets where aggregate demand is…