We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ...

The integration of systems for pricing and revenue management must trade off potential revenue gains against significant practical and technical challenges. This dilemma motivates us to investigate the value of coordinating ...

Abstract In this paper, we examine the organization and the functioning of the Dutch electricity market. First we describe the organization of the Dutch electricity supply chain and the role of the main market participants ...

Increased consumption of fossil fuels in industrial production has led to a significant elevation in the emission of greenhouse gases and to global warming. The most effective international action against global warming ...

The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding ...