Pricing And Risk Management In Competitive Electricity Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Pricing And Risk Management In Competitive Electricity Markets PDF full book. Access full book title Pricing And Risk Management In Competitive Electricity Markets.
Author | : Ahmad Faruqui |
Publisher | : Springer Science & Business Media |
Total Pages | : 463 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1461545293 |
Download Pricing in Competitive Electricity Markets Book in PDF, ePub and Kindle
Electricity markets are being deregulated or face new regulatory frameworks. In such changing markets, new pricing strategies will need to consider such factors as cost, value of service and pricing by objective. Pricing in Competitive Electricity Markets introduces a new family of pricing concepts, methodologies, models, tools and databases focused on market-based pricing. This book reviews important theoretical pricing issues as well as practical pricing applications for changing electricity markets.
Author | : Zhendong Xia |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : Competition |
ISBN | : |
Download Pricing and Risk Management in Competitive Electricity Markets Book in PDF, ePub and Kindle
Electricity prices in competitive markets are extremely volatile with salient features such as mean-reversion and jumps and spikes. Modeling electricity spot prices is essential for asset and project valuation as well as risk management. I introduce the mean-reversion feature into a classical variance gamma model to model the electricity price dynamics as a mean-reverting variance gamma (MRVG) process. Derivative pricing formulae are derived through transform analysis and model parameters are estimated by the generalized method of moments and the Markov Chain Monte Carlo method. A real option approach is proposed to value a tolling contract incorporating operational characteristics of the generation asset and contractual constraints. Two simulation-based methods are proposed to solve the valuation problem. The effects of different electricity price assumptions on the valuation of tolling contracts are examined. Based on the valuation model, I also propose a heuristic scheme for hedging tolling contracts and demonstrate the validity of the hedging scheme through numerical examples. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized ARCH (GARCH) models are widely used to model price volatility in financial markets. Considering a GARCH model with heavy-tailed innovations for electricity price, I characterize the limiting distribution of a Value-at-Risk (VaR) estimator of the conditional electricity price distribution, which corresponds to the extremal quantile of the conditional distribution of the GARCH price process. I propose two methods, the normal approximation method and the data tilting method, for constructing confidence intervals for the conditional VaR estimator and assess their accuracies by simulation studies. The proposed approach is applied to electricity spot price data taken from the Pennsylvania-New Jersey-Maryland market to obtain confidence intervals of the empirically estimated Value-at-Risk of electricity prices. Several directions that deserve further investigation are pointed out for future research.
Author | : Derek W. Bunn |
Publisher | : John Wiley & Sons |
Total Pages | : 368 |
Release | : 2004-04-02 |
Genre | : Business & Economics |
ISBN | : |
Download Modelling Prices in Competitive Electricity Markets Book in PDF, ePub and Kindle
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 | : Chris Harris |
Publisher | : John Wiley & Sons |
Total Pages | : 550 |
Release | : 2006-05-18 |
Genre | : Business & Economics |
ISBN | : 0470011580 |
Download Electricity Markets Book in PDF, ePub and Kindle
Understand the electricity market, its policies and how they drive prices, emissions, and security, with this comprehensive cross-disciplinary book. Author Chris Harris includes technical and quantitative arguments so you can confidently construct pricing models based on the various fluctuations that occur. Whether you?re a trader or an analyst, this book will enable you to make informed decisions about this volatile industry.
Author | : Petter L. Skantze |
Publisher | : Springer Science & Business Media |
Total Pages | : 220 |
Release | : 2012-12-06 |
Genre | : Technology & Engineering |
ISBN | : 146151701X |
Download Valuation, Hedging and Speculation in Competitive Electricity Markets Book in PDF, ePub and Kindle
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 | : Mohammad Shahidehpour |
Publisher | : John Wiley & Sons |
Total Pages | : 552 |
Release | : 2003-05-28 |
Genre | : Technology & Engineering |
ISBN | : 0471463949 |
Download Market Operations in Electric Power Systems Book in PDF, ePub and Kindle
An essential overview of post-deregulation market operations inelectrical power systems Until recently the U.S. electricity industry was dominated byvertically integrated utilities. It is now evolving into adistributive and competitive market driven by market forces andincreased competition. With electricity amounting to a $200 billionper year market in the United States, the implications of thisrestructuring will naturally affect the rest of the world. Why is restructuring necessary? What are the components ofrestructuring? How is the new structure different from the oldmonopoly? How are the participants strategizing their options tomaximize their revenues? What are the market risks and how are theyevaluated? How are interchange transactions analyzed and approved?Starting with a background sketch of the industry, this hands-onreference provides insights into the new trends in power systemsoperation and control, and highlights advanced issues in thefield. Written for both technical and nontechnical professionals involvedin power engineering, finance, and marketing, this must-haveresource discusses: * Market structure and operation of electric power systems * Load and price forecasting and arbitrage * Price-based unit commitment and security constrained unitcommitment * Market power analysis and game theory applications * Ancillary services auction market design * Transmission pricing and congestion Using real-world case studies, this timely survey offers engineers,consultants, researchers, financial managers, university professorsand students, and other professionals in the industry acomprehensive review of electricity restructuring and how itsradical effects will shape the market.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1949 |
Genre | : |
ISBN | : |
Download COLLECTED PAPERS from the MATHEMATICAL INSTITUTE, FACULTY of SCIENCE, NAGOYA UNIVERSITY. Book in PDF, ePub and Kindle
Author | : Alexander Eydeland |
Publisher | : John Wiley & Sons |
Total Pages | : 506 |
Release | : 2003-02-03 |
Genre | : Business & Economics |
ISBN | : 0471455873 |
Download Energy and Power Risk Management Book in PDF, ePub and Kindle
Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
Author | : Fereidoon Sioshansi |
Publisher | : Elsevier |
Total Pages | : 625 |
Release | : 2011-10-10 |
Genre | : Technology & Engineering |
ISBN | : 0080557716 |
Download Competitive Electricity Markets Book in PDF, ePub and Kindle
After 2 decades, policymakers and regulators agree that electricity market reform, liberalization and privatization remains partly art. Moreover, the international experience suggests that in nearly all cases, initial market reform leads to unintended consequences or introduces new risks, which must be addressed in subsequent “reform of the reforms. Competitive Electricity Markets describes the evolution of the market reform process including a number of challenging issues such as infrastructure investment, resource adequacy, capacity and demand participation, market power, distributed generation, renewable energy and global climate change. Sequel to Electricity Market Reform: An International Perspective in the same series published in 2006 Contributions from renowned scholars and practitioners on significant electricity market design and implementation issues Covers timely topics on the evolution of electricity market liberalization worldwide
Author | : Paul Barber |
Publisher | : Pennwell Books |
Total Pages | : 312 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : |
Download The US Power Market Book in PDF, ePub and Kindle