In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...

In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...

In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...

We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by...

We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement.We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by...

We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by...

In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier transform methods, introduce a specific calibration...

In this paper, we provide an axiomatic approach to general premium priciples giving rise to a decomposition into risk, as a generalization of the expected value, and deviation, as a generalization of the variance. We show that, for every premium priciple, there exists a maximal risk measure...