Electricity price modeling and asset valuation: a multi-fuel structural approach

Citations

Cited by:

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   • Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
4. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
   • Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance 1317, University of St. Gallen, School of Finance.
5. Mireille Bossy & Odile Pourtallier & Nadia Maïzi, 2015. "Game theory analysis for carbon auction market through electricity market coupling," Post-Print hal-00954377, HAL.
6. Umut Ugurlu & Ilkay Oksuz & Oktay Tas, 2018. "Electricity Price Forecasting Using Recurrent Neural Networks," Energies, MDPI, vol. 11(5), pages 1-23, May.
7. Alasseur, C. & Féron, O., 2018. "Structural price model for coupled electricity markets," Energy Economics, Elsevier, vol. 75(C), pages 104-119.
8. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
9. Kallabis, Thomas & Pape, Christian & Weber, Christoph, 2016. "The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model," Energy Policy, Elsevier, vol. 95(C), pages 280-290.
10. Mireille Bossy & Nadia Maizi & Odile Pourtallier, 2013. "Nash equilibrium for coupling of CO2 allowances and electricity markets," Papers 1311.1535, arXiv.org.
11. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
12. Florian Ziel & Rick Steinert, 2015. "Electricity Price Forecasting using Sale and Purchase Curves: The X-Model," Papers 1509.00372, arXiv.org, revised Aug 2016.
13. Andreas Wagner, 2014. "Residual Demand Modeling and Application to Electricity Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
14. Matt Thompson, 2013. "Optimal Economic Dispatch and Risk Management of Thermal Power Plants in Deregulated Markets," Operations Research, INFORMS, vol. 61(4), pages 791-809, August.
15. Clemence Alasseur & Olivier Feron, 2017. "Structural price model for electricity coupled markets," Papers 1704.06027, arXiv.org.
16. Russo, Marianna & Bertsch, Valentin, 2020. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Energy Economics, Elsevier, vol. 92(C).
    • Russo, Marianna & Bertsch, Valentin, 2018. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Papers WP597, Economic and Social Research Institute (ESRI).
17. Miha Troha & Raphael Hauser, 2014. "Calculation of a power price equilibrium," Papers 1409.6645, arXiv.org.
18. Jens Hönen & Johann L. Hurink & Bert Zwart, 2023. "A classification scheme for local energy trading," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 85-118, March.
19. repec:dui:wpaper:1504 is not listed on IDEAS
20. Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015. "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance 1512, University of St. Gallen, School of Finance.
21. Benedetti, Giuseppe & Campi, Luciano, 2016. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," LSE Research Online Documents on Economics 63016, London School of Economics and Political Science, LSE Library.
22. Valentin Mahler & Robin Girard & Georges Kariniotakis, 2021. "Data-driven Structural Modeling of Electricity Price Dynamics," Working Papers hal-03445396, HAL.
23. Damir Filipovic & Martin Larsson & Tony Ware, 2017. "Polynomial processes for power prices," Papers 1710.10293, arXiv.org, revised Apr 2018.
24. Sergei Kulakov, 2020. "X-Model: Further Development and Possible Modifications," Forecasting, MDPI, vol. 2(1), pages 1-16, February.
25. Giuseppe Benedetti & Luciano Campi, 2013. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," Papers 1307.4591, arXiv.org.
26. Mireille Bossy & Odile Pourtallier & Nadia Maïzi, 2014. "Game theory analysis for carbon auction market through electricity market coupling," Working Papers hal-00954377, HAL.
27. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Spot and Derivatives Pricing when Markets are Interconnected," Working Papers on Finance 1323, University of St. Gallen, School of Finance.
28. Samuel N. Cohen & Victor Fedyashov, 2014. "Ergodic BSDEs with jumps and time dependence," Papers 1406.4329, arXiv.org, revised Nov 2015.