As a result of storability restrictions, the price risk management of flow commodities (such as natural gas, oil, and electrical power) is by no means a trivial matter.To protect price spikes, consumers purchase diverse swing-type contracts, whereas contract writers try to hedge themselves by...

As a result of storability restrictions, the price risk management of flow commodities (such as natural gas, oil, and electrical power) is by no means a trivial matter.To protect price spikes, consumers purchase diverse swing-type contracts, whereas contract writers try to hedge themselves by...

This work deals with strategy optimization for electricity producers. We consider two types of auctions used to maintain the real-time ballance for production and consumption of electricity. For both auction types, we calculate the market equilibrium and discuss its properties. Copyright...

According to theoretical arguments, a properly designed emission trading system should help reaching pollution reduction at low social burden. Based on the theoretical work of environmental economists, cap-and-trade systems are put into operations all over the world. However, the practice from...

In industrial appli ations, optimal c ontrol problems frequently appear in the c ontext of dec isions-making under inc omplete information. In su ch framework, dec isions must be adapted dynami cally to acc ount for possible regime c hanges of the underlying dynamic s. Using sto hastic filtering...

The existence of mandatory emission trading schemes in Europe and the United States, and the increased liquidity of trading on futures contracts on CO₂ emissions allowances, led naturally to the next step in the development of these markets: These futures contracts are now used as underliers for...

We address a method for pricing electricity contracts based on the valuation of the ability to produce power, which is considered as the true underlying factor for electricity derivatives. This approach shows that an evaluation of free production capacity provides a framework where a...