Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, these exhibit a significant time-varying risk premium. Using EEX data during the introduction of Emission certificates and the German "Atom Moratorium" we show...

In this article we derive risk-neutral option price formulas for both plain-vanilla and exotic electricity futures derivatives on the basis of diverse arithmetic multi-factor Ornstein-Uhlenbeck spot price models admitting seasonality, while – in order to avoid “information...

One of the major changes in european electricity markets is - besides the increasing share of renewable infeed - the fact that previously independent market areas have been connected. Day-Ahead auctions are no longer done separately and available interconnector capacity are not always auctioned...