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A Survey of Commodity Markets and Structural Models for Electricity Prices
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 devote specialExpand
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Electricity price modeling and asset valuation: a multi-fuel structural approach
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 power and theExpand
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A Model for Hedging Load and Price Risk in the Texas Electricity Market
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 dynamics, which isExpand
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The valuation of clean spread options: linking electricity, emissions and fuels
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. TheExpand
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Stochastic Behaviour of the Electricity Bid Stack: From Fundamental Drivers to Power Prices
We develop a fundamental model for spot electricity prices, based on stochastic processes for underlying factors (fuel prices, power demand and generation capacity availability), as well as aExpand
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Modelling price dynamics through fundamental relationships in electricity and other energy markets
Energy markets feature a wide range of unusual price behaviour along with a complicated dependence structure between electricity, natural gas, coal and carbon, as well as other variables. We approachExpand
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SMART-SREC: A Stochastic Model of the New Jersey Solar Renewable Energy Certificate Market
Markets for solar renewable energy certificates (SRECs) are gaining in prominence in many states, stimulating growth of the U.S. solar industry. However, SREC market prices have been extremelyExpand
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Hourly resolution forward curves for power: statistical modeling meets market fundamentals
This work appears as a book chapter within the publication Energy Pricing Models: Recent Advances, Methods and Tools, edited by Marcel Prokopczuk, published in Dec 2014 by Palgrave Macmillan. TheExpand
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A non-parametric structural hybrid modeling approach for electricity prices
We develop a stochastic model of zonal/regional electricity prices, designed to reflect information in fuel forward curves and aggregated capacity and load, as well as zonal or regional priceExpand
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ADAPT: A Price-Stabilizing Compliance Policy for Renewable Energy Certificates: The Case of SREC Markets
Currently, most Renewable Energy Certificate (REC) markets are defined based on targets that create an artificial step demand function resembling a cliff. This target policy produces volatile pricesExpand
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