Solar generation has increased dramatically over recent years, breaking world records for meeting 100\% of the electricity demand on occasion in Australia’s National Electricity Market (NEM). Solar output variability coupled with the rooftop solar impact on demand as a behind-the-meter...

Australia's National Electricity Market (NEM) is experiencing one of the world's fastest and marked transitions toward variable renewable energy generation. This transformation poses challenges to system security and reliability and has triggered increased variability and uncertainty in...

This paper presents a class of defaultable term structure models within the HJM framework with stochastic volatility. Under certain volatility specifications, the model admits finite dimensional Markovian structures and consequently provides tractable solutions for interest rate derivatives. We...

The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real-world probability measure. Therefore, the...

This paper proposes a framework for pricing credit derivatives within the defaultable Markovian HJM framework featuring unspanned stochastic volatility. Motivated by empirical evidence, hump-shaped level dependent stochastic volatility specifications are proposed, such that the model admits...

Modelling the energy price in the Australian National Electricity Market (NEM) requires features that are not well reflected in existing models. We present a semi-structural, multi-regional model wherein bidding is not required to be cost-based, renewable fuels and storage technology are...