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Sunday, May 17, 2020 | History

1 edition of Valuation, Hedging and Speculation in Competitive Electricity Markets found in the catalog.

Valuation, Hedging and Speculation in Competitive Electricity Markets

a Fundamental Approach

by Petter L. Skantze

  • 305 Want to read
  • 36 Currently reading

Published by Springer US in Boston, MA .
Written in English

    Subjects:
  • Computer engineering,
  • Engineering economy,
  • Engineering

  • About the Edition

    The challenges facing participants in competitive electricity markets are staggering: high price volatility introduces significant financial risk into an industry accustomed to guaranteed rates of return, while illiquid forward markets prevent effective hedging strategies from being implemented. Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach, examines the unique properties which separate electricity from other traded commodities, including the lack of economical storage, and the impact of a scarce transmission network. The authors trace the sources of uncertainties in the price of electricity to underlying physical and economic processes, and incorporate these into a bid-based model for electricity spot and forward prices. They also illustrate how insufficient market data can be circumvented by using a combination of price and load data in the marking- to-market process. The model is applied to three classes of problems central to the operation of any electric utility or power marketer; valuing generation assets, formulating dynamic hedging strategies for load serving obligations, and pricing transmission contracts and locational spread options. Emphasis is placed on the difference between trades which can be "booked out" in the forward markets, and those which must be carried through to delivery. Lately, significant attention has been given to the role of regulators in mitigating excessive price levels in electricity markets. The authors conduct a quantitative analysis of the long-term effects of regulatory intervention through the use of price caps. By modeling the dynamic interplay between the observed price levels and the decision to invest in new generation assets, it is shown how such short term fixes can lead to long term deficits in the available generation capacity, and ultimately to market failures and blackouts.

    Edition Notes

    Statementby Petter L. Skantze, Marija D. Ilic
    SeriesThe Springer International Series in Engineering and Computer Science, Power Electronics and Power Systems, Springer International Series in Engineering and Computer Science, Power Electronics and Power Systems
    ContributionsIlic, Marija D.
    Classifications
    LC ClassificationsTK1-9971
    The Physical Object
    Format[electronic resource] :
    Pagination1 online resource (xv, 214 pages).
    Number of Pages214
    ID Numbers
    Open LibraryOL27094055M
    ISBN 101461356857, 146151701X
    ISBN 109781461356851, 9781461517016
    OCLC/WorldCa852792484

    A comprehensive overview of trading and risk management in the energy markets Energy Trading and Risk Management provides a comprehensive overview of global energy markets from one of the foremost authorities on energy derivatives and quantitative an approachable writing style, Iris Mack breaks down the three primary applications for energy derivatives markets – Risk Management. 2. Electricity markets. Most electricity markets provide two types of markets in which energy is traded: the spot market and the (physical) forward market. In the contract market, Gencos trade energy by way of signing contacts, which are referred to as physical forward contracts, with their counterparters (e.g., energy consumers).Cited by:

    In Section 3, we explain the mechanics of price formation in electricity markets and define the main object of interest: the day-ahead electricity price. Next, following Weron (), we classify the techniques in terms of both the planning horizon’s duration and the applied methodology, and review the most interesting by: This is “Understanding the Roles of Finance and Accounting in Global Competitive Advantage”, chapter 15 from the book Challenges and Opportunities in International Business (v. ). For details on it (including licensing), click here.

    Unit 3. Futures Hedging Strategies Concept of Hedging • Hedging is a type of transaction designed to reduce or, in some cases, eliminate risk. • It is simply a technique designed to offset some existing or anticipated risk which also causes one to give up the possibility of a gain. • The most commonly used financial derivative tools to hedge risk are option, future, forward and swap. Downloadable (with restrictions)! Generators in a wholesale electricity market can exercise market power, but the existence of forward hedging contracts between consumers and generators mitigates this market power. In our model we look at the role of the consumers (retailers here) in offering forward contracts. To deal with the problem of why generators should enter into such contracts, we.


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Valuation, Hedging and Speculation in Competitive Electricity Markets by Petter L. Skantze Download PDF EPUB FB2

Valuation, Hedging and Speculation in Competitive Electricity Markets A Fundamental Approach. Authors: Skantze, Petter L., Ilic, Marija Free Preview. Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach (Power Electronics and Power Systems) [Skantze, Petter L., Ilic, Marija] on *FREE* shipping on qualifying offers.

Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach (Power Electronics and Power Systems)Format: Hardcover.

Read "Valuation, Hedging and Speculation in Competitive Electricity Markets A Fundamental Approach" by Petter L. Skantze available from Rakuten Kobo. The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented Brand: Springer US.

Valuation, Hedging and Speculation in Competitive Electricity Markets A Fundamental Approach. Authors The challenges currently facing particIpants m competitive Valuation markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a.

Valuation, Hedging and Speculation in Competitive Electricity Markets by Petter L. Skantze,available at Book Depository with free delivery worldwide. Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach, examines the unique properties which separate electricity from other traded commodities, including the lack of economical storage, and the impact of a scarce transmission network.

Get this from a library. Valuation, hedging, and speculation in competitive electricity markets: a fundamental approach. [Petter L Skantze; Marija D Ilic]. [PDF] Valuation Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach.

Buy "Valuation, Hedging and Speculation in Competitive Electricity Markets": A Fundamental Approach (Power Electronics and Power Systems) Softcover reprint of the original 1st ed.

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In: Valuation, Hedging and Speculation in Competitive Electricity Markets. The Springer International Series in Engineering and Computer Science (Power Electronics and Power Systems).Author: Petter L. Skantze, Marija D. Ilic. One of the more difficult elements in this process is building a robust forward curve to value the assets against.

This is particularly true for less liquid markets such as electricity. However a number of approaches can be used to bootstrap different.

[Read book] Competitive Electricity Markets: Design Implementation Performance (Elsevier Global. Report. Browse more videos. Existing pricing factors in equity and bond markets, including market premium and term structure, are tested in commodity futures markets.

Hedging pressure in commodity futures markets and Author: David M. Newbery. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible.

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