Arbitrage Pricing in Electricity Markets

Second, while the discussion in Section 6.1 demonstrated that a zonal pricing system yields the lowest average electricity price, and this may be favorable in terms of energy

See Kau and Slawson (2002) for one of the latest version of these models. The purpose of what follows is to present the standard no-arbitrage argument producing the

We show that the no-arbitrage of second kind property (NA2 in short), introduced by [17] for finite dimensional markets, allows to provide a closure property for the set of

Thanks to relation (2.2), any electricity derivative can be viewed as a basket option on fuels. Hence, Assumption 2.2 allows us to properly apply the usual risk neutral machinery

In this paper, we propose to generate time series of prices with an hourly resolution using a structural model that simulates a simplified market clearing process.. The

We show numerically that when the storage belongs either to the consumer or to a stand-alone real-time storage oper- ator, the storage energy capacity that maximizes the stor- age

While using a model featuring random matching and repeated games, it is shown that whenever one group seizes power, mem- bers of other groups will perceive additional value in

Dans le premier cas, le plus simple, lorsque l’utilisateur est centré sur un objet de la base (un restaurant R, un musée M), le portail peut alors lui proposer de visualiser