We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...

We test the performance of popular option strategies in the Nordic power derivative market using 12 years of data. We find that protective put strategies outperform long forward and covered call strategies on risk-adjusted basis, because the payoff function of the protective put seems a good fit...

This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...

We examine whether the unbundling of generation from transmission and distribution services at state-owned power plants in India improved operating efficiency at these power plants. Between 1995 and 2009, 85 percent of coal-based generation capacity owned by state governments was unbundled from...

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

This paper presents implied volatility smiles and skews for plain vanilla electricity options based on a new bid stack model developed in a previous paper. This underlying bid stack model for the electricity market is extended to the case of an arbitrary number N of technology classes embedded...

This paper proposes an extended version of the analytical structural model for the electricity market developed in a previous paper. The presented electricity price process is driven by stochastic load and random plant availability as well as stochastic marginal generation cost factors embedded...

This paper presents an analytical structural model for the electricity price process driven by stochastic load as well as stochastic marginal generation costs in a multi-fuel stack framework covering the entire fuel switch dynamics. Moreover, the random character of available generation capacity...

We examine the decision problem of a power producer contemplating an upgrade of its current generation capacity based on a fossil fuel technology (gas plant), when price processes have affine drift and differentiable volatility functions. The operator can choose the best of four mutually...

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...