Michel Verschuere

After completing two years of technical engineering at the Hogeschool West-Vlaanderen, I studied Physics at the K.U.Leuven, graduating in 1999. I became a research assistant of the Belgian National Fund for Scientific Research (FWO-Vlaanderen). I obtained my PhD degree in Physics at K.U.Leuven, Institute for Theoretical Physics on January 27^th, 2003 under supervision of Prof. C. Maes (Mathematical Physics Section). Between February 2003 until February 2004, I've been a guest researcher at the Institute of Financial and Actuarial Mathematics of the Technical University in Vienna, under supervision of Dr. Josef Teichmann. From March until December 2004, I've worked as a Risk Analyst for Luminus N.V., a natural gas and power supplier in Flanders. In January 2005, I became Pricing Manager with VERBUND - Austrian Power Trading AG in Vienna.

Published on 09/27/2007

Keywords: Ornstein Uhlenbeck, spot prices, power exchange
Published in:
Publication year: 2003

Overview:
1. Electricity as a commodity
2. A deregulated market for power
3. Case study: the NordPool power exchange
4. Physical properties of spot prices
5. Mathematical models for spot prices
6. Pricing power derivatives
7. Conclusions

Modeling electricity markets