Related papers: Energy price risk management
This paper presents a dynamic pricing and energy management framework for electric vehicle (EV) charging service providers. To set the charging prices, the service providers faces three uncertainties: the volatility of wholesale electricity…
Recent developments in the global liberalization of equity and currency markets, coupled to advances in trading technologies, are making markets increasingly interdependent. This increased fluidity raises questions about the stability of…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
Energy storage shifts energy from off-peak periods to on-peak periods. Unlike conventional generation, storage is duration-limited: the stored energy capacity constrains the duration over which it can supply power. To understand how these…
Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…
Electricity price forecasting (EPF) plays a major role for electricity companies as a fundamental entry for trading decisions or energy management operations. As electricity can not be stored, electricity prices are highly volatile which…
How does dynamic price information flow among Northern European electricity spot prices and prices of major electricity generation fuel sources? We use time series models combined with new advances in causal inference to answer these…
The field of electricity price forecasting has seen significant advances in the last years, including the development of new, more accurate forecast models. These models leverage statistical relationships in previously observed data to…
Coordination of distributed energy resources is critical for electricity grid management. Although nodal pricing schemes can mitigate congestion and voltage deviations, the resulting prices are not necessarily equitable. In this work, we…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process…
Oil prices above $100/barrel values have proven unaffordable for the world economy, while lower prices have proven unaffordable for unconventional oil sources, resulting in a frantic price swing since 2007-2008. We identify and combine for…
Arbitrage is one important revenue source for energy storage in electricity markets. However, a large amount of storage in the market will impact the energy price and reduce potential revenues. This can lead to strategic behaviors of…
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…
Power grid outages cause huge economical and societal costs. Disruptions in the power distribution grid are responsible for a significant fraction of electric power unavailability to customers. The impact of extreme weather conditions,…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
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…
The integration of renewable generation poses operational and economic challenges for the electricity grid. For the core problem of power balance, the legacy paradigm of tailoring supply to follow random demand may be inappropriate under…