Business and Management

Energy price modelling

Dr Michael Coulon frequently collaborates with energy companies to design and implement new mathematical models for managing electricity price risk in the face of rapidly changing market conditions. 

Pylons carrying high voltage electricity lines

Electric utilities and generators require advanced risk management and valuation tools to handle the many challenges posed by modern wholesale power markets:  highly volatile fuel and power prices, complex periodicities and dramatic price spikes, the rapid growth of renewables inducing unprecedented intermittency of supply, and the ongoing integration (‘coupling’) of European markets.  While some of these issues have been widely studied over several years, others are very recent and changing phenomena that demand innovative and flexible modelling approaches.

Michael has worked extensively with the research team at Alpiq, a large Swiss power company owning over 6GW of generation capacity.  Building on Michael’s research, a cutting-edge structural model for price dynamics of the German power market (EPEX) has been developed.  This led to a significant enhancement of Alpiq’s trading and risk management capabilities. In addition, through the collaboration with Alpiq, Michael co-authored a chapter in a book for both academics and energy market practitioners on recent modelling advances (see below).

Michael continues to actively collaborate with the energy sector to adapt related models to different markets or regions and different applications.  For example, along with members of the Princeton University Energy Systems group (PENSA) he has recently worked on projects with PSEG and NRG (utility companies based in New Jersey), as well as some collaboration with Scoville Risk Partners (a New York based firm providing advisory services and analytics for the energy sector).


Publication:

Coulon, M., Jacobsson, C. and Ströjby, J. (2014) Hourly resolution forward curves for power: statistical modeling meets market fundamentals. In: Prokopczuk, M. ed. Energy Pricing Models: Recent Advances, Methods and Tools, Palgrave Macmillan, London, pp. 147-193