Valuation Hedging And Speculation In Competitive Electricity Markets PDF Download
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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 | : Petter L. Skantze |
Publisher | : |
Total Pages | : 164 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download A Fundamental Approach to Valuation, Hedging and Speculation in Deregulated Electricty Markets Book in PDF, ePub and Kindle
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 | : Shijie Deng |
Publisher | : |
Total Pages | : 312 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Financial Methods in Competitive Electricity Markets Book in PDF, ePub and Kindle
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 | : Hung-po Chao |
Publisher | : Springer Science & Business Media |
Total Pages | : 213 |
Release | : 2013-12-01 |
Genre | : Business & Economics |
ISBN | : 1461555477 |
Download Designing Competitive Electricity Markets Book in PDF, ePub and Kindle
The authors are prominent economists, operation researchers, and engineers who have been instrumental in the development of the conceptual framework for electric power restructuring both in the United States and in other countries. Rather than espousing a particular market design for the industry's future, each author focuses on an important issue or set of issues and tries to frame the questions for designing electricity markets using an international perspective. The book focuses on the economic and technical questions important in understanding the industry's long-term development rather than providing immediate answers for the current political debates on industry competition.
Author | : Robert G. Ethier |
Publisher | : |
Total Pages | : 300 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Competitive Electricity Markets, Prices and Generator Entry and Exit Book in PDF, ePub and Kindle
Author | : Karthik Viswanathan |
Publisher | : |
Total Pages | : 90 |
Release | : 2008 |
Genre | : Accounting and price fluctuations |
ISBN | : |
Download Formulating Hedging Strategies for Financial Risk Mitigation in Competitive U.S. Electricity Markets Book in PDF, ePub and Kindle
"The challenges currently facing participants in the competitive electricity markets are unique and staggering: unprecedented price volatility, fluctuations in the demand, a lack of historical market data on which to test the new modeling approaches, increased competition and continuously changing regulatory structure...Electricity plant owners and purchasers of electricity may benefit from various techniques to manage price volatility. For electricity, however, no futures market is actively traded. The electricity forward market in NYMEX is in its nascent stage and is low in liquidity. Producers and purchasers of electricity may find cross-hedging electricity with natural gas futures contracts to be effective in reducing exposure to price volatility. The objective of this study is to estimate the cross-hedge relationship and strategies between spot electricity price and the NYMEX natural gas futures market for the cross-hedging horizon of one month"--Introduction, leaves 10-11.
Author | : Hung-Po Chao |
Publisher | : |
Total Pages | : 228 |
Release | : 2014-09-17 |
Genre | : |
ISBN | : 9781461555483 |
Download Designing Competitive Electricity Markets 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