The paper deals with the interesting topic of pricing energy structurated products which are traded in OTC market. The paper concentrates on a specific virtual asset, namely virtual power plant (VPP). The paper contains the definition of VPP, a description of the mathematical approach used in...

1 Introduction -- 2 Literature Review -- 3 The Valuation of Options on Capacity -- 4 Extensions to the Option Valuation Model -- 5 Managerial Insights and Conclusion -- References -- List of Figures -- List of Tables.

We present a general framework for pricing life insurance contracts embedding a surrender option. The model allows for several sources of risk, such as uncertainty in mortality, interest rates and other financial factors. We describe and compare two numerical schemes based on the Least Squares...

This paper presents the application of MINLP (mixed-integer nonlinear programming) approach for scheduling of a CHP (combined heat and power) plant in the day-ahead wholesale energy markets. This work employs first principles models to describe the nonlinear dynamics of a CHP plant and its...

A long-standing issue with centrally committed electricity markets is the design of non-confiscatory and equilibrium-supporting prices. This is because the social planner's problem in such a market is a non-convex unit commitment. O'Neill et al. (2005) propose a pricing scheme that overcomes...