Valuation, Hedging and Speculation in Competitive Electricity Markets
Springer (Verlag)
978-0-7923-7528-9 (ISBN)
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.
Reihe/Serie | Power Electronics and Power Systems |
---|---|
Zusatzinfo | XV, 214 p. |
Verlagsort | Dordrecht |
Sprache | englisch |
Maße | 155 x 235 mm |
Themenwelt | Naturwissenschaften ► Biologie ► Ökologie / Naturschutz |
Technik ► Elektrotechnik / Energietechnik | |
ISBN-10 | 0-7923-7528-9 / 0792375289 |
ISBN-13 | 978-0-7923-7528-9 / 9780792375289 |
Zustand | Neuware |
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