Electricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. Appropriate pricing, portfolio, and risk management models should incorporate these spikes. We develop a framework to price European-style options that are consistent with the possibility of market spikes. The pricing framework is based on a regime jump mo...

The dynamic estimation algorithm for Rician fading channels in GSM-R networks is proposed, which is an expansion of local mean power estimation of Rayleigh fading channels. The proper length of statistical interval and required number of averaging samples are determined which are adaptive to different propagation environments. It takes advantage of signal samples and Rician fading parameters of...