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...

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...

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...

The curbing of greenhouse gases (GHG) is an important issue on the international political agenda. The substitution of fossil fuels by renewable energy sources is an often-advocated mitigation strategy. Wind energy is a potential renewable energy source. However, wind energy is not reliable...