In the present paper we demonstrate a mid-term planning model for thermal power generation which is based on multistage stochastic optimization and involves stochastic electricity spot prices, mixture of fuels with stochastic prices, the effect of CO2 emission prices and various types of further...

Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period...

We demonstrate how the problem of determining the ask price for electricity swing options can be considered as a stochastic bilevel program with asymmetric information. Unlike as for financial options, there is no way for basing the pricing method on no-arbitrage arguments. Two main situations...

In this paper, we analyze the impact of renewable energies, wind and photovoltaic, on the formation of day-ahead electricity prices at EEX. We give an overview of the policy decisions concerning the promotion of renewable energy sources in Germany and discuss their consequences on day-ahead...

In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncertainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates and...

Retail banks usually apply simple linear regression models for describing the dynamics of the deposit rates of non-maturing accounts (NMA) like savings deposits. Thus, typical patterns like asymmetry or rigidity that banks follow when adjusting their deposit rates are ignored. This is insofar...

Current trends of the world’s economy is characterized by the institutionalization of trade policy rules, as a result of the formation of trading blocs that determine the main directions of world trade. In trade policy, sovereign states, take into account the general state of the economy and...

We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and negative prices. We distinguish between a base regime as well as upper and...

With the liberalization of global power markets, modeling of exchange traded electricity contracts has attracted significantly the attention of both academic and industry. In this paper we offer an overview of the most common deseasonalization techniques and modeling approaches in the...