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Derivative pricing in electricity markets
This Ph.D. dissertation deals with the pricing of derivatives on electricity price. The first part is a theoretical extension of Arbitrage Pricing Theory: we assess... -
A note on super-hedging for investor-producers
International audience -
Variance Optimal Hedging for discrete time processes with independent increme...
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the... -
Two studies in risk management: portfolio insurance under risk measure constr...
In this thesis I'm interested in two aspects of portfolio management: the portfolio insurance under a risk measure constraint and quadratic hedge in incomplete... -
Demand Response in Electrical Energy supply: An Optimal Real Time Pricing App...
International audience -
Variance optimal hedging for continuous time additive processes and applications
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process.... -
A game theoretical analysis of the design options of the real-time electricit...
Cahier de recherche EDDEN, n°4/2013, 30 p. -
Institutions and Electricity Systems Transition towards Decarbonisation : The...
Apart from the UK where it has been widely discussed in the 2011 Electricity Market Reform, energy experts communities are still unaware of the impacts that carbon... -
Agent-based modeling and simulation of competitive wholesale electricity markets
This paper sheds light on a promising and very active research area for electricity market modeling, that is, agent-based computational economics. The intriguing... -
Comparison and empirical validaton of optimizing and agent-based models of th...
International audience -
Supply-side gaming on electricity markets with physical constrained transmiss...
International audience -
Operator's bidding strategies in the liberalized Italian power market
International audience -
Comparing system-marginal-price versus pay-as-bid auctions in a realistic ele...
International audience -
Agent-based model of the Italian wholesale electricity market
International audience -
Hedging Expected Losses on Derivatives in Electricity Futures Markets
International audience -
Optimal investment and pricing under certain market imperfections
In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility... -
European Electricity Market Reforms: The "Visible Hand" of Public Coordination
International audience
