European electricity market participants are encouraged to balance intraday deviations from
their day-ahead schedules via trades in the intraday market. Together with the increasing …

The goal of this survey is to review the major idiosyncrasies of the commodity markets and
the methods which have been proposed to handle them in spot and forward price models …

We introduce a new and highly tractable structural model for spot and derivative prices in
electricity markets. Using a stochastic model of the bid stack, we translate the demand for …

We develop a structural risk‐neutral model for energy market modifying along several
directions the approach introduced in Aïd et al. In particular, a scarcity function is introduced …

Energy policies for promoting investment in renewable energy sources have become crucial
for deploying green energy technologies worldwide. Conventional incentive systems assign …

The project that led to this book started in August 2011 when Matheus Grasselli proposed
the writing of a monograph on the quantitative financial aspects of energy markets in a new …

This review presents the set of electricity price models proposed in the literature since the
opening of power markets. We focus on price models applied to financial pricing and risk …

Energy companies with commitments to meet customers' daily electricity demands face the
problem of hedging load and price risk. We propose a joint model for load and price …

A model for residual demand is proposed, which extends structural electricity price models
to account for renewable infeed in the market. Infeed from wind and solar is modeled …

Polynomial processes have the property that expectations of polynomial functions (of degree
n, say) of the future state of the process conditional on the current state are given by …