Financial Methods in Competitive Electricity Markets
Author | : Shijie Deng |
Publisher | : |
Total Pages | : 312 |
Release | : 1999 |
Genre | : |
ISBN | : |
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Author | : Shijie Deng |
Publisher | : |
Total Pages | : 312 |
Release | : 1999 |
Genre | : |
ISBN | : |
Author | : Petter L. Skantze |
Publisher | : Springer Science & Business Media |
Total Pages | : 220 |
Release | : 2012-12-06 |
Genre | : Technology & Engineering |
ISBN | : 146151701X |
The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.
Author | : Derek W. Bunn |
Publisher | : John Wiley & Sons |
Total Pages | : 368 |
Release | : 2004-04-02 |
Genre | : Business & Economics |
ISBN | : |
Electricity markets are structurally different to other commodities, and the real-time dynamic balancing of the electricity network involves many external factors. Because of this, it is not a simple matter to transfer conventional models of financial time series analysis to wholesale electricity prices. The rationale for this compilation of chapters from international authors is, therefore, to provide econometric analysis of wholesale power markets around the world, to give greater understanding of their particular characteristics, and to assess the applicability of various methods of price modelling. Researchers and professionals in this sector will find the book an invaluable guide to the most important state-of-the-art modelling techniques which are converging to define the special approaches necessary for unravelling and forecasting the behaviour of electricity prices. It is a high-quality synthesis of the work of financial engineering, industrial economics and power systems analysis, as they relate to the behaviour of competitive electricity markets.
Author | : |
Publisher | : |
Total Pages | : 199 |
Release | : 2010 |
Genre | : |
ISBN | : |
Author | : Enrico Edoli |
Publisher | : Springer |
Total Pages | : 210 |
Release | : 2016-04-30 |
Genre | : Business & Economics |
ISBN | : 1137412976 |
As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.
Author | : René Aïd |
Publisher | : Springer |
Total Pages | : 107 |
Release | : 2015-01-14 |
Genre | : Mathematics |
ISBN | : 3319083953 |
Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent derivatives in electricity markets, namely power plants and swings. The mathematical content of the book has intentionally been made light in order to concentrate on the main subject matter, avoiding fastidious computations. Wherever possible, the models are illustrated by diagrams. The book should allow prospective researchers in the field of electricity derivatives to focus on the actual difficulties associated with the subject. It should also offer a brief but exhaustive overview of the latest techniques used by financial engineers in energy utilities and energy trading desks.
Author | : François Lévêque |
Publisher | : Edward Elgar Publishing |
Total Pages | : 319 |
Release | : 2007-01-01 |
Genre | : Business & Economics |
ISBN | : 184720435X |
This book responds to the opening up of electricity markets to competition, which has completely changed the nature of power generation. The building of new generation and transmission capacity and the setting of the energy mix between nuclear, gas and renewable resources are mainly left to private initiative and investors. The authors and the editor of this book explore whether or not market forces offer a sustainable future for electricity generation. They employ economic theory and method to answer questions such as: Will the market be able to ensure adequacy of generation capacity and secu.
Author | : Sally Hunt |
Publisher | : John Wiley & Sons |
Total Pages | : 467 |
Release | : 2002-10-01 |
Genre | : Business & Economics |
ISBN | : 0471266027 |
An expert's perspective on how competition can make this industry work. There has never been a coherent plan to restructure the electricity industry in the USâ??until now. Power expert Sally Hunt gets down to the critical lessons learned from the California power crisis and other deregulated markets, in which competition has been introduced properly and successfully. Hunt presents sensible solutions to power market reform that have been cultivated over her twenty years of professional work in the industry. Sally Hunt (New York, NY) spent twenty years at National Economic Research Associates, where she was head of NERA's U.S. energy practice and a member of the board. Coauthor of Competition and Choice in Electricity with Graham Shuttleworth (0471957828), she has served as Corporate Economist at Con Edison, Deputy Director of the New York City Energy Office, and Assistant Administrator of the New York City Environmental Protection Administration. Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management,asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.
Author | : Ignacia Mercadal |
Publisher | : |
Total Pages | : 80 |
Release | : 2018 |
Genre | : |
ISBN | : |
I study the role of purely financial players in electricity markets, where they trade alongside physical buyers and sellers. In this context, physical sellers intertemporally price discriminate, leading to price differences that financial traders arbitrage, thus restricting producers' market power. Using detailed individual data, I examine physical and financial firms' response to regulation that exogenously increased financial trading. I show that the effect of financial traders on generators' market power depends on whether firms are in a static Nash equilibrium or not. I then develop a structural test of static Nash equilibrium and show the null of static Nash does not hold during the period of reduced financial trading. To implement the test, I present a new method to study the competitive structure of electricity markets using machine learning tools to define markets. I find that increased financial trading reduced generators' market power and increased consumer surplus.
Author | : S. Fiorenzani |
Publisher | : Springer |
Total Pages | : 188 |
Release | : 2006-01-31 |
Genre | : Business & Economics |
ISBN | : 023059834X |
This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.