2 papers
q-fin.PM2018
Optimal Portfolio in Intraday Electricity Markets Modelled by Lévy-Ornstein-Uhlenbeck Processes
Marco Piccirilli, Tiziano Vargiolu
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the contin…
q-fin.MF2017
Additive energy forward curves in a Heath-Jarrow-Morton framework
Fred Espen Benth, Marco Piccirilli, Tiziano Vargiolu
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain pe…