Concept

Spot contract

Related publications (18)

Development of the methodology for the evaluation of a hydro-pumped storage power plant: Swiss case study

During the last two decades, an evolving market structure is recognised starting from the spot market and its derivatives, resulting to several other markets such as the Intraday Market (IM), the Balancing Market (BM) and the Reserve Capacity Market (RCM). ...

Elsevier Science Bv2016

Valuation of a pumped-storage hydro-plant in a multiple markets framework

Nikolaos Iliadis

There has been an evolving electricity market structure starting from the spot market and its derivatives, to several other markets such as the Intraday Market, the Balancing Market and the Reserve Capacity Market. The participation in these markets has ch ...

EPFL2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014

Linking electricity prices and costs in bottom-up top-down coupling under changing market environments

Frank Vöhringer, Sophie Maire

For some time, regulatory reforms in Europe have aimed at electricity market liberalisation. One of the many consequences is that increasingly spot market transactions replace long- term contracts, thus redefining the way wholesale electricity prices are f ...

2014

Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

Daniel Kuhn

The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...

Elsevier2012

Pricing expropriation risk in natural resource contracts – A real options approach

Anders Trolle

We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...

MIT press2010

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Multi-agent modelling of electricity markets

Abdelaziz Lahlou

This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...

EPFL2007

Generation Capacity Investments in Competitive Electricity Markets: A Preliminary Assessment after 10 years of Liberalization in Europe

Matthias Finger, Bastian Wolfgang Schwark

Balancing supply and demand in energy markets is not an easy task. Competitive markets oblige private actors to justify their investments towards their shareholders by appropriate rates of return. Consequently, electricity markets may lead to under-investm ...

2007

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