We address a method for pricing electricity contracts based on the valuation of the ability to produce power, which is considered as the true underlying factor for electricity derivatives. This approach shows that an evaluation of free production capacity provides a framework where a...

The main thrust of the paper is the design and the numerical analysis of new cap- and-trade schemes for the control and the reduction of atmospheric pollution. The tools developed are intended to help policy makers and regulators understand the pros and the cons of the emissions markets. We...

Since the 1990s power markets are being restructured worldwide and nowadays electrical power is traded as a commodity. The liberalization and with it the uncertainty in gas, fuel and electrical power prices requires an effective management of production facilities and financial contracts....

In this work, the valuation of energy-related financial contracts written on prices of flow commodities (such as natural gas, oil and electrical power) will be elaborated. Due to restrictions on storability of the underlying, the pricing of flow commodity derivatives is not trivial and thus...

A production-based approach is introduced to take into account different attitudes and liabilities of market participants to discuss the equilibrium day-ahead prices on electricity. Conditions ensuring the existence of the equilibrium are given and price distribution is considered. A discussion...

Emissions trading markets have been touted as the most efficient mechanism to achieve environmental goals at least cost. Whether in the form of voluntary markets or in a mandatory framework like in the first phase of the European Union (EU) Emission Trading Scheme (ETS), the regulator sets a cap...

The main thrust of the paper is the design and the numerical analysis of new cap- and-trade schemes for the control and the reduction of atmospheric pollution. The tools developed are intended to help policy makers and regulators understand the pros and the cons of the emissions markets. We...