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math.OC2025
Baseline hydropower generation offer curves
Jonathan Pearce, Arash Khojaste, Golbon Zakeri +1
We outline a mathematical model for pricing hydropower generation. The model involves a Markov decision process that reflects the seasonal variation in historical time series of wa…
math.OC2025
On monotone completion of risk markets: Limit results for incomplete risk markets
Iman Khajepour, Geoffrey Pritchard, Danny Ralph +1
We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental…