In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...

In this paper‎, ‎the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied‎. ‎To this end‎, ‎first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented‎. ‎Interaction between put option and day-ahead markets‎, ‎uncertainty in fuel price, impact of premium bounds, and elasticity of con...

Intermittent nature of wind power faced ISO and power producers with new challenges. Wind power uncertainty has increased the required reserve capacity and deployment reserve. Consequently, large-scale wind power generation increases ISO costs and consequently reserve prices. On the other hand, since wind power producers are price taker, large-scale wind power generation decreases residual dema...

Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

Reliable and efficient operation of deregulated electricity markets requires supply and demand elasticity. This paper presents incentive control of spinning reserves in electricity multi-markets using game theory. Interruptible load contracts (ILC) could reduce the amount of spinning reserve requirements during system contingencies such as transmission congestion. It is shown that the power uti...

This paper outlines the fundamental features of the PJM day-ahead energy market and real-time energy market. The Day-ahead market is based on a voluntary least-cost security constrained unit commitment and dispatch with several fundamental design features that ensure the market is robust and competitive. This market offers market participants the option to lock in energy and transportation char...

In this paper we present results from an agent-based simulation model of two sequentially cleared electricity markets. Agents can bid on both a day-ahead market for physical delivery contracts and a day-ahead balancing power market and learn from their achieved results. Different scenarios of the order of market clearing and pricing rules are tested and their results are compared. We show that ...

In this master thesis, a model is proposed to enable profitable market participation of wind power plants considering the availability of second-party owned energy storage. A novel concept of storage capacity reservations is presented using which the wind power producer hedges against wind outcomes which are unfavourable with respect to its day-ahead market bids. The idea that wind power produc...

Purpose of the paper The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate portfolio returns. The purpose of the paper is to estimate accurate 10-day-ahead 99% VaR...