Related papers: Energy price risk management
This paper evaluates the impact of the power extent on price in the electricity market. The competitiveness extent of the electricity market during specific times in a day is considered to achieve this. Then, the effect of competitiveness…
This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
Demand flexibility can offset some of the variability introduced on the supply-side by variable renewable generation. However, most efforts (e.g. control of residential vehicle charging) focus on short durations -- typically on the scale of…
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures…
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for…
The recent energy crisis starting in 2021 led to record-high gas, coal, carbon and power prices, with electricity reaching up to 40 times the pre-crisis average. This had dramatic consequences for operational and risk management prompting…
In this paper, we propose a model of decentralized energy storages, who serve as instruments to shift energy supply intertemporally. From storages' perspective, we investigate their optimal buying or selling decisions under market…
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be…
The participation of consumers and producers in demand response programs has increased in smart grids, which reduces investment and operation costs of power systems. Also, with the advent of renewable energy sources, the electricity market…
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple.…
Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…
In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…
The United States' power market is featured by the lack of judicial power at the federal level. The market thus provides a unique testing environment for the market organization structure. At the same time, the econometric modeling and…
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity…
Electricity price forecasting supports decision-making in energy markets and asset operation. Probabilistic forecasts are increasingly adopted to explicitly quantify uncertainty, typically issued as quantile predictions or ensembles of the…
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…