With global attention focused on the 21st session of the Conference of Parties (COP21) in December 2015, much action is still needed and many obstacles remain unsolved in the international climate change negotiations: in particular, while the target of limiting global warming to below 2◦C...

We develop a fundamental model for spot electricity prices, based on stochastic processes for underlying factors (fuel prices, power demand and generation capacity availability), as well as a parametric form for the bid stack function which maps these price drivers to the power price. Using...

Markets for solar renewable energy certificates (SRECs) are gaining in prominence in many states, stimulating growth of the U.S. solar industry. However, SREC market prices have been extremely volatile, causing high risk to participants and potentially less investment in solar power generation....

Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which is motivated by the goal of facilitating optimal hedging decisions, while also intuitively capturing the key...

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 spot prices. The stack structure allows for a range of...

The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of structural models as opposed to reduced-form...