We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound autoregressive (or affine) stochastic processes. We show that...

This paper analyzes the interactions between vertical integration and (wholesale) spot, forward and retail markets in risk management. We develop an equilibrium model that fits electricity markets well. We point out that vertical integration and forward hedging are two separate levers for demand...

Interconnecting two adjacent areas of electricity production generates benefits in combined consumer surplus and welfare by allowing electricity to flow from the low cost area to the high cost area. It will lower prices in the high cost area, raise them in the low cost area and will thus have...

Since the late 90s,, European industries of electricity and gas have been subject to a process of concentration at both horizontal and vertical levels. At first glance, this consolidation is quite natural since, on the one hand, the application of European directives to open to competition has...

With the introduction of CO2 allowances, the European Union Carbon Trading Scheme (EU ETS) has imposed a price on the CO2 emissions of power generating companies. In line with economic theory, these companies pass on the costs of allowances and integrate it into the price of electricity. Due to...

Since the end of the eighties, the European electric sector has been progressively liberalised. This phenomenon has given a growing part to the financial markets in the valuation and the control of the firm's activities. With the privatisation, the management's efficiency has become the main...

The international energy environment is full of uncertainties. However, the aggravation of global warming and the stagnation of climate geopolitics reinforce the urgency for action and the development of adaptation policies. Europe has set up a long term energy vision which is very responsible...

Une problématique qui se pose dès lors que certaines activités électriques sont ouvertes à la concurrence est le pouvoir de marché. Le passage des prix régulés à des prix concurrentiels accroît les possibilités de manipulation des prix par les entreprises. Cet article est centré sur...