We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to life–insurance products and can be considered as alternatives to a direct investment in the underlying benchmark portfolio. In particular, the effects of modelling a roll–over savings pla...

The paper extends our previous analysis of market incompleteness to the case where there exist both a forward and real time market. The discussion is conducted with reference to a two-stage framework commonly used in stochastic programming and finance, but also familiar to the power industry. The paper considers two market designs. The first organization assumes that physical transmission servi...

This memo documents an optional type of Open Shortest Path First (OSPF) area that is somewhat humorously referred to as a "not-sostubby" area (or NSSA). NSSAs are similar to the existing OSPF stub area configuration option but have the additional capability of importing AS external routes in a limited fashion. The OSPF NSSA Option was originally defined in RFC 1587. The functional differences b...

In this paper we show how a multidimensional American real option may be solved using a computer-based simulation procedure. We implement an approach originally proposed for a financial option and show how it can be used in a much more complex setting. We extend a wellknown natural resource real option model, originally solved using finite difference methods, to include a more realistic 3 facto...

Italy adopted the European Union Directives for the liberalisation of electricity and natural gas markets by means of two legislative decrees issued in February 1999 (electricity) and May 2000 (natural gas). Consequently, the Italian electricity monopolist Enel was obliged to sell 15,000 megawatts of its installed capacity to other operators, in order to promote competition in power generation....

The overall topic of this thesis is the valuation of power generation assets under energy and risk constraints. Our focus is on the modeling aspect i.e. to find the right balance between accuracy and computational feasibility. We define a new not yet investigated unit commitment problem that introduces an energy constraint to a thermal power plant. We define a continuous stochastic dynamic prog...