Download or read book Valuation Hedging and Speculation in Competitive Electricity Markets written by Petter L. Skantze and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book A Fundamental Approach to Valuation Hedging and Speculation in Deregulated Electricty Markets written by Petter L. Skantze and published by . This book was released on 2001 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing in Competitive Electricity Markets written by Ahmad Faruqui and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Financial Methods in Competitive Electricity Markets written by Shijie Deng and published by . This book was released on 1999 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing and Risk Management in Competitive Electricity Markets written by Zhendong Xia and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Designing Competitive Electricity Markets written by Hung-po Chao and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Competitive Electricity Markets Prices and Generator Entry and Exit written by Robert G. Ethier and published by . This book was released on 1999 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Formulating Hedging Strategies for Financial Risk Mitigation in Competitive U S Electricity Markets written by Karthik Viswanathan and published by . This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.

Download or read book Electricity Derivatives written by René Aïd and published by Springer. This book was released on 2015-01-14 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Designing Competitive Electricity Markets written by Hung-Po Chao and published by . This book was released on 2014-09-17 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Download or read book Market Operations in Electric Power Systems written by Mohammad Shahidehpour and published by John Wiley & Sons. This book was released on 2003-05-28 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Modelling Prices in Competitive Electricity Markets written by Derek W. Bunn and published by John Wiley & Sons. This book was released on 2004-04-02 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Modeling and Forecasting Electricity Loads and Prices written by Rafal Weron and published by John Wiley & Sons. This book was released on 2007-01-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes—electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.

Download or read book Speculation and Hedging with Virtuals written by Prasenjit Shil and published by . This book was released on 2008 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Virtual bid" and "Virtual offer" are purely financial products offered in certain electricity markets. theoretically, virtual bids and offers can change the electricity price as the bids and offers are stacked along with the demand and supply, respectively. This dissertation discusses how virtuals can be used to hedge and speculate in the electricity market. A statistical simulation model is developed based on the day-ahead (DA) demand and real time (RT) load data from Midwest Independent Transmission System Operator's (MISO) footprint and DA and RT price observed at Cinergy hub. The simulation models are intended to mimic the load and price processes, taking the cyclical and correlation patterns in the market data into account as well as to provide a mechanism to incorporate stochastic variations that impact the processes. This model can then be utilized to study how the various trading strategies perform under deferent scenarios and thus provide better decision making tools to a trader. The DA Demand and RT Load are simulated using a combination of unobserved component models (UCM) and a set of regression variables. The DA Price and RT Price processes are replicated with GARCH based regression models. The regressor variables include principal components of different weather variables to capture the weather variation across MISO footprint and a set of dummy variables to model key patterns observed in the electricity market. The simulation models are used to generate test data sets which are then used to analyze different strategies involving virtuals. The simulation models also help to understand the relationship between DA and RT clearing prices. This research fins no evidence of DA/RT price convergence purely based on the virtuals trading at MISO. Based on the simulation results, the virtual bids appear to be most profitable during summer and winter and virtual offers appears to be most successful during shoulder months"--Abstract, leaf iii.

Download or read book Strategic behaviour resource valuation and competition in electricity markets written by Miguel A. Espinosa and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Computational Intelligence and Decision Making written by Ana Madureira and published by Springer Science & Business Media. This book was released on 2012-11-08 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a general overview and original analysis of new developments and applications in several areas of Computational Intelligence and Information Systems. Computational Intelligence has become an important tool for engineers to develop and analyze novel techniques to solve problems in basic sciences such as physics, chemistry, biology, engineering, environment and social sciences. The material contained in this book addresses the foundations and applications of Artificial Intelligence and Decision Support Systems, Complex and Biological Inspired Systems, Simulation and Evolution of Real and Artificial Life Forms, Intelligent Models and Control Systems, Knowledge and Learning Technologies, Web Semantics and Ontologies, Intelligent Tutoring Systems, Intelligent Power Systems, Self-Organized and Distributed Systems, Intelligent Manufacturing Systems and Affective Computing. The contributions have all been written by international experts, who provide current views on the topics discussed and present recent, original insights from their own experience in these fields.