During the last two decades, an evolving market structure is recognised starting from the spot market and its derivatives, resulting to several other markets such as the Intraday Market (IM), the Balancing Market (BM) and the Reserve Capacity Market (RCM). ...
In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...
This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...
Balancing supply and demand in energy markets is not an easy task. Competitive markets oblige private actors to justify their investments towards their shareholders by appropriate rates of return. Consequently, electricity markets may lead to under-investm ...