Simple arbitrage model for battery storage optimization under price uncertainty. Demonstrates how to turn policy simulation output into a simple decision rule of when to buy and when to sell.
Spot-based valuation of a storage for natural gas over the course of one year. Model prices as one-factor model. Learn how to approximate storage value and delta positions.
New research on how to calculate optimal day-ahead bids that account for the option to rebalance a portfolio in the EPEX SPOT continuous intraday market.
Learn how to calculate the extrinsic value of storage when using an empirical model of term structure dynamics.
Learn how to optimize a hydropower planning in hourly time granularity under uncertainty about day-ahead electricity prices and natural inflows.
Learn how making compromises in model selection affects solution quality and how to make a hydro-thermal planning robust against a mis-specified inflow process.