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Now showing items 1-10 of 40
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein–Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2015)
Based on forward curves modelled as Hilbert-space valued processes, we analyze the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from ...
Intersecting near-optimal spaces: European power systems with more resilience to weather variability
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2023)
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2016)
We treat a stochastic integration theory for a class of Hilbert-valued, volatility-modulated, conditionally Gaussian Volterra processes. We apply techniques from Malliavin calculus to define this stochastic integration as ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
We give a short introduction to energy markets, describing how they function and what products are traded. Next we survey some of the popular models that have been proposed in the literature. We extend the analysis of one ...