We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in closed form for a...

We develop a structural model for pricing a defaultable bond issued by a companysubject to climate transition risk. We assume that the magnitude of thetransition risk impacts depends on a transition scenario, which isinitially unknown but is progressively revealed through theobservation of the...

We show there exists a profitable cross-border trading strategy for an agent who trades electricity in the European electricity network. Data of the European markets are employed to show how electricity prices in all locations of the network are affected by the flow of power between any two...