In this paper, we present an arithmetic electricity spot price model based on generalized Langevin equations. In this setup, we investigate electricity forward pricing under future information modeled by initially enlarged filtrations. Hence, our model not only accounts for memory effects via...

In the context of smart markets’ popularization, day-ahead pricing of electricity has been deployed more commonly as an attempt to improve the grid’s operation and maximize the socioeconomic welfare. However, estimating the utility function is necessary to maximize the socioeconomic welfare,...

The European Union Emission Trading Scheme (EU ETS) is a cornerstone of the EU's strategy to fight climate change and an important device for plummeting greenhouse gas (GHG) emissions in an economically efficient manner. The power industry has switched to an auction-based allocation system at...