Valuation, Hedging and Speculation in Competitive Electricity Markets : A Fundamental Approach

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 wi...

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Main Authors: Skantze, Petter L., Ilic, Marija (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: New York, NY Springer US 2001, 2001
Edition:1st ed. 2001
Series:Power Electronics and Power Systems
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Summary: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
Physical Description:XV, 214 p online resource
ISBN:9781461517016