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...

Valuation of electricity generating assets is of central importance as utilities are forced to spin-off generators with the introduction of competitive markets. A continuous-time mean reverting price path with stochastic upward jumps is proposed as an appropriate model for long-run competitive...

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...

Management of water resources has become more complex in recent years as a result of changing attitudes towards sustainability and the attribution of greater attention to environmental issues, especially under a scenario of water scarcity risk introduced by climate changes and anthropogenic...

Despite the potential for hydroelectric dams to help address challenges related to the variability and unpredictability of wind energy, at present there are few systems-based wind-hydro studies available in the scientific literature. This work represents an attempt to begin filling this gap...

The Greek Regulatory Authority for Energy (RAE), in view of the initiation of the new wholesale electricity market on January 1st 2009 as a Day-Ahead mandatory pool, undertook the design and implementation of a simulator for the market. The simulator consists of several interacting modules...

This paper presents a new approach to minimize the operation cost of wind-diesel system. Under the constraints of diesel units' startup/shut down time, ramp rate and power balance etc., the ‘Unit Commitment’ concept is introduced to construct the model for optimal operation planning of all...

Combined heat and power (CHP) plants are characterized by high fuel efficiency and are therefore usually the thermal power producing units of choice within a district heating network. The operation of CHP units is typically controlled by the current heat demand and thus delimits the range of...

With increasing wind farm integrations, unit commitment (UC) is more difficult to solve because of the intermittent and fluctuation nature of wind power. In this paper, scenario generation and reduction technique is applied to simulate the impacts of its uncertainty on system operation. And then...