Reliability Options (ROs) are used to enhance the security of supply in electricity systems. When a power producer writes a RO, s/he agrees to set a cap on the price of electricity that s/he cashes. In return, the system operator, i.e., the party that is buying the option, pays to the option...

In this paper we analyse a market where the risky assets follow defaultable exponential additive processes, with coefficients depending on the default state of the assets. In this market we show that, when an investor wants to maximize a utility function which is logarithmic on both his/her...

This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling

We show there exists a profitable cross-border trading strategy for an agent who trades electricity in the European electricity network. Data of the European markets are employed to show how electricity prices in all locations of the network are affected by the flow of power between any two...