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...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
New York, NY
Springer US
2001, 2001
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| Edition: | 1st ed. 2001 |
| Series: | Power Electronics and Power Systems
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- Overview of Valuation and Hedging Theory
- 2.1 Valuing a Commitment Option
- 2.2 Market Based Valuation
- Overview of the Competitive Electricity Industry
- 3.1 Description of Market Participants
- 3.2 Electricity Markets
- Arbitrage Pricing and the Temporal Relationship of Electricity Prices
- 4.1 Is Electricity Really Non-storable?
- 4.2 Arbitrage and the Relationship Between Physical and Financial Contracts for Electricity
- Building a Price Model for Electricity Markets
- 5.1 Structure of Model
- 5.2 Modeling Approaches
- A Bid-Based Stochastic Model for Electricity Prices
- 6.1 Load Characteristics
- 6.2 Supply Characteristics
- 6.3 Price as a Function of Load and Supply
- 6.4 Stochastic Load Model
- 6.5 Stochastic Supply Process
- 6.6 Summary of the Bid-based Stochastic Price Model
- 6.7 Calibration of the Bid-based Stochastic Model
- 6.8 The Time-scale Separated Bid-based Stochastic Model
- 6.9 Simulations
- 6.10 Concluding Remarks
- Optimal Futures Market Strategies for Energy Service Providers
- 7.1 Hedging Risk for Energy Service Providers
- 7.2 The Physical and Economic Interaction of Energy Service Providers and their Customers
- 7.3 Problem Formulation
- 7.4 Modeling
- 7.5 Efficient Reformulation of Cost Function
- 7.6 Solution Approaches
- 7.7 The End State Problem
- 7.8 Thoughts on the Complexity of the ESP Hedging Problem
- Valuing Generation Assets
- 8.1 Introduction
- 8.2 A Principal Component Based Price Model for Electricity Spot Markets
- 8.3 Creating a Lookup Table of Cash flows
- 8.4 Linking Simulated Prices to the Lookup Table to Generate Simulated Cash Flows
- 8.5 Concluding Remarks
- 8.6 Figures
- Modeling Locational Price Differences
- 9.1 Introduction
- 9.2 Locational Pricing and Markets for Transmission
- 9.3 Modeling Transmission Rights asa Derivative on Spot Prices
- 9.4 Overview of Existing Price Models
- 9.5 Interactions Between Neighboring Markets
- 9.6 Valuing a Transmission Right
- 9.7 Simulation Based Valuation
- 9.8 Dynamic Hedging
- 9.9 Generalization of the Model to A 3 Node Example
- Investment Dynamics and Long Term Price Trends in Competitive Electricity Markets
- 10.1 Introduction
- 10.2 A Long Term Model for Electricity Prices
- 10.3 Modeling Investment Dynamics
- 10.4 A Dynamic Notion of Reliability
- 10.5 Effects of Government Policy
- 10.6 Concluding Remarks
- Conclusion
- Appendix A
- Appendix B
- References