This paper considers the general problem of optimal timing of the exchange of the sum of n Ito-diffusions for the sum of m others (e.g., the optimal time to exchange a geometric Brownian motion for a geometric mean reverting process). We first contribute to the literature by providing analytical...

The pricing of contingent claims in the wholesale power market is a controversial topic. Important challenges come from the non-storability of electricity and the number of parameters that impact the market. We propose an equilibrium model based on the fundamentals of power generation. In a...

Financial derivatives are important hedging tool for asset’s manager. Electricity is by its very nature the most volatile commodity, which creates big incentive to share the risk among the market participants through financial contracts. But, even if volume of derivatives contracts traded on...

Cross-border trade remains a contentious issue in the restructuring of the European electricity market. Difficulties stem from the lack of a common market design, the separation between energy and transmission markets and the insufficient coordination between Transmission System Operators...

Real options present a wide topic in investment litterature nowadays. However, despite big advances in the single asset investment pricing, the theory is miser of informations about problems involving more than one asset. We show in this paper that using dynamic programming, one can find an...

We consider a stochastic version of the Stackelberg-Nash-Cournot model proposed by Murphy et al. (1983). In the first stage, the leader chooses and announces his production level taking into account the reaction of the followers. The decision of the leader is taken when market demand is...

Decentralization in electricity restructuring is a growing trend that Power Marketers are ex- pected to take advantage of. We consider a market composed of Power Marketers, an Indepen- dent System Operator, generators and retailers. Power Marketers behave a` la Cournot-Nash and the ISO...

Former generation capacity expansion models were formulated as optimization problems. These included a reliability criterion and hence guaranteed security of supply. The situation is different in restructured markets where investments need to be incentivised by the margin resulting from...

The progressive relocation of part of the Energy Intensive Industries (EIIs) out of Europe is one of the possible consequences of the combination of emission charges and higher electricity prices entailed by the EU-Emission Trading Scheme (EU-ETS). In order to mitigate this effect, EIIs have...

A two-stage game is used in this paper to model a long-run market with spatially separated producers and with multi-period demands: first, firms simultaneously and independently invest their capacities; second, after capacities are set up in the first stage and made public, firms engage in a...