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Optimal bidding strategies on the power market based on the stochastic models. (2010). Wyłomańska, Agnieszka ; Weglarz, Magdalena .
In: HSC Research Reports.
RePEc:wuu:wpaper:hsc1006.

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  1. Baldick R. Grant R., Kahn E., Theory and application of linear supply function equilibrium in electricity markets, J. Regulatory Econ. 25 No.2 2004, 143-167.

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    Paper not yet in RePEc: Add citation now
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  4. Geman H., Commodities and Commodity Derivatives. Modeling and Pricing for Agriculturals, Metals and Energy, Chichester (GrandeBretagne) : Wiley Finance, 2005.

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  8. Niu H., Baldick R., Zhu G., Supply function equilibrium bidding strategies with fixed forward contracts. IEEE Transactions on Power Systems, Vol. 20, No. 4, November 2005.

  9. Renisch W. , Tezuka T., Market power and trading strategies on the electricity market: a market design view, IEEE Trans. Power Syst., vol.21 no.3: 1180-1190, 2006.
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  10. Rudkevich A., Supply Function Equilibrium: Theory and Applications, hicss, vol. 2, pp.52a, 36th Annual Hawaii International Conference on System Sciences (HICSS'03) - Track 2, 2003
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  11. Sapio S., Day-ahead power market volatility in linear SFE and Cournot models. In: International conference “The European Electricity Market EEM-07”, 151-158, 2007.
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  12. Weron R., Market price of risk implied by Asian-style electricity options and futures, Energy Econ. 30, 1098-1115, HSC Research Report Series 2010 For a complete list please visit http://ideas.repec.org/s/wuu/wpaper.html 01 Models for Heavy-tailed Asset Returns by Szymon Borak, Adam Misiorek and Rafał Weron 02 FX Smile in the Heston Model by Agnieszka Janek, Tino Kluge, Rafał Weron and Uwe Wystup 03 Building Loss Models by Krzysztof Burnecki, Joanna Janczura and Rafał Weron 04 Ruin Probability in Finite Time by Krzysztof Burnecki and Marek Teuerle 05 Heavy-tailed distributions in VaR calculations by Adam Misiorek and Rafał Weron 06 Optimal bidding strategies on the power market based on the stochastic models by Magdalena Węglarz and Agnieszka Wyłomańska

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