This article examines the energy market restructuring in EU after the gradual liberalisation process of previous years and defines the application of European competition law to this framework of restructuring. We firstly present the different aspects of this restructuring and second we...

The interdependence of electricity and natural gas is becoming a major energy policy and regulatory issue in all jurisdictions around the world. The increased role of gas fired plants in renewable-based electricity markets and the dependence on gas imports make this issue particular striking for...

This article investigates mean risk hedging with respect to limited liquidity and studies the impact of different risk measures on the hedging strategies. For motivation and application purposes hedging in electricity markets is chosen, because the relevant hedging markets are characterized by...

The European electricity market design is based on zonal markets with uniform prices. Locational price signals within these zones - necessary to ensure long-term efficiency - are not provided. Specifically, if intra-zonal congestion occurs due to missing grid expansion, the market design is...

The European electricity system is undergoing significant changes, not only with respect to developments in generation and networks but also the arrangements for the operation of the system. These are specified in the Network Codes endorsed by regulators, network operators and the European...

In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An...

Nuclear power is an important pillar in electricity generation in France. However, France's nuclear power plant fleet is ageing, and the possibility of reducing its share in power generation or even a complete phaseout has been increasingly discussed. Our research therefore focuses on three...

In principle, portfolio optimization in electricity markets can make use of the standard mean‐variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An...

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...