Stochastic Modelling Of Electricity And Related Markets

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Stochastic Modelling of Electricity and Related Markets

Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Stochastic Modelling of Electricity and Related Markets Book PDF

Author : Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Publisher : World Scientific
Page : 352 pages
File Size : 51,7 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812812308

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Stochastic Modelling of Electricity and Related Markets by Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker Pdf

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. 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. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Stochastic Modeling Of Electricity And Related Markets

Fred Espen Benth,Steen Koekebakker,Jurate Saltyte-benth
Stochastic Modeling Of Electricity And Related Markets Book PDF

Author : Fred Espen Benth,Steen Koekebakker,Jurate Saltyte-benth
Publisher : World Scientific
Page : 352 pages
File Size : 49,7 Mb
Release : 2008-04-14
Category : Business & Economics
ISBN : 9789814471312

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Stochastic Modeling Of Electricity And Related Markets by Fred Espen Benth,Steen Koekebakker,Jurate Saltyte-benth Pdf

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. 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. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Stochastic Modelling of Electricity and Related Markets

Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Stochastic Modelling of Electricity and Related Markets Book PDF

Author : Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Publisher : World Scientific
Page : 352 pages
File Size : 40,5 Mb
Release : 2008
Category : Technology & Engineering
ISBN : 9789812812315

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Stochastic Modelling of Electricity and Related Markets by Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker Pdf

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. 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. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.

Mathematical Modelling of Contemporary Electricity Markets

Athanasios Dagoumas
Mathematical Modelling of Contemporary Electricity Markets Book PDF

Author : Athanasios Dagoumas
Publisher : Academic Press
Page : 444 pages
File Size : 54,9 Mb
Release : 2021-01-30
Category : Business & Economics
ISBN : 9780128218396

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Mathematical Modelling of Contemporary Electricity Markets by Athanasios Dagoumas Pdf

Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets

Valuation, Hedging and Speculation in Competitive Electricity Markets

Petter L. Skantze,Marija Ilic
Valuation Hedging and Speculation in Competitive Electricity Markets Book PDF

Author : Petter L. Skantze,Marija Ilic
Publisher : Springer Science & Business Media
Page : 220 pages
File Size : 45,9 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9781461517016

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Valuation, Hedging and Speculation in Competitive Electricity Markets by Petter L. Skantze,Marija Ilic Pdf

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.

Decision Making Under Uncertainty in Electricity Markets

Antonio J. Conejo,Miguel Carrión,Juan M. Morales
Decision Making Under Uncertainty in Electricity Markets Book PDF

Author : Antonio J. Conejo,Miguel Carrión,Juan M. Morales
Publisher : Springer Science & Business Media
Page : 549 pages
File Size : 41,5 Mb
Release : 2010-09-08
Category : Business & Economics
ISBN : 9781441974211

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Decision Making Under Uncertainty in Electricity Markets by Antonio J. Conejo,Miguel Carrión,Juan M. Morales Pdf

Decision Making Under Uncertainty in Electricity Markets provides models and procedures to be used by electricity market agents to make informed decisions under uncertainty. These procedures rely on well established stochastic programming models, which make them efficient and robust. Particularly, these techniques allow electricity producers to derive offering strategies for the pool and contracting decisions in the futures market. Retailers use these techniques to derive selling prices to clients and energy procurement strategies through the pool, the futures market and bilateral contracting. Using the proposed models, consumers can derive the best energy procurement strategies using the available trading floors. The market operator can use the techniques proposed in this book to clear simultaneously energy and reserve markets promoting efficiency and equity. The techniques described in this book are of interest for professionals working on energy markets, and for graduate students in power engineering, applied mathematics, applied economics, and operations research.

Energy Markets and Responsive Grids

Sean Meyn,Tariq Samad,Ian Hiskens,Jakob Stoustrup
Energy Markets and Responsive Grids Book PDF

Author : Sean Meyn,Tariq Samad,Ian Hiskens,Jakob Stoustrup
Publisher : Springer
Page : 518 pages
File Size : 51,8 Mb
Release : 2018-06-09
Category : Science
ISBN : 9781493978229

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Energy Markets and Responsive Grids by Sean Meyn,Tariq Samad,Ian Hiskens,Jakob Stoustrup Pdf

This volume consists of selected essays by participants of the workshop Control at Large Scales: Energy Markets and Responsive Grids held at the Institute for Mathematics and its Applications, Minneapolis, Minnesota, U.S.A. from May 9-13, 2016. The workshop brought together a diverse group of experts to discuss current and future challenges in energy markets and controls, along with potential solutions. The volume includes chapters on significant challenges in the design of markets and incentives, integration of renewable energy and energy storage, risk management and resilience, and distributed and multi-scale optimization and control. Contributors include leading experts from academia and industry in power systems and markets as well as control science and engineering. This volume will be of use to experts and newcomers interested in all aspects of the challenges facing the creation of a more sustainable electricity infrastructure, in areas such as distributed and stochastic optimization and control, stability theory, economics, policy, and financial mathematics, as well as in all aspects of power system operation.

Modeling and Forecasting Electricity Loads and Prices

Rafal Weron
Modeling and Forecasting Electricity Loads and Prices Book PDF

Author : Rafal Weron
Publisher : John Wiley & Sons
Page : 192 pages
File Size : 47,8 Mb
Release : 2007-01-30
Category : Business & Economics
ISBN : 9780470059999

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Modeling and Forecasting Electricity Loads and Prices by Rafal Weron Pdf

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.

Stochastic Models for Prices Dynamics in Energy and Commodity Markets

Fred Espen Benth,Paul Krühner
Stochastic Models for Prices Dynamics in Energy and Commodity Markets Book PDF

Author : Fred Espen Benth,Paul Krühner
Publisher : Springer Nature
Page : 250 pages
File Size : 50,5 Mb
Release : 2023-11-16
Category : Mathematics
ISBN : 9783031403675

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Stochastic Models for Prices Dynamics in Energy and Commodity Markets by Fred Espen Benth,Paul Krühner Pdf

This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.

Integrating Renewables in Electricity Markets

Juan M. Morales,Antonio J. Conejo,Henrik Madsen,Pierre Pinson,Marco Zugno
Integrating Renewables in Electricity Markets Book PDF

Author : Juan M. Morales,Antonio J. Conejo,Henrik Madsen,Pierre Pinson,Marco Zugno
Publisher : Springer Science & Business Media
Page : 434 pages
File Size : 53,7 Mb
Release : 2013-12-03
Category : Business & Economics
ISBN : 9781461494119

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Integrating Renewables in Electricity Markets by Juan M. Morales,Antonio J. Conejo,Henrik Madsen,Pierre Pinson,Marco Zugno Pdf

This addition to the ISOR series addresses the analytics of the operations of electric energy systems with increasing penetration of stochastic renewable production facilities, such as wind- and solar-based generation units. As stochastic renewable production units become ubiquitous throughout electric energy systems, an increasing level of flexible backup provided by non-stochastic units and other system agents is needed if supply security and quality are to be maintained. Within the context above, this book provides up-to-date analytical tools to address challenging operational problems such as: • The modeling and forecasting of stochastic renewable power production. • The characterization of the impact of renewable production on market outcomes. • The clearing of electricity markets with high penetration of stochastic renewable units. • The development of mechanisms to counteract the variability and unpredictability of stochastic renewable units so that supply security is not at risk. • The trading of the electric energy produced by stochastic renewable producers. • The association of a number of electricity production facilities, stochastic and others, to increase their competitive edge in the electricity market. • The development of procedures to enable demand response and to facilitate the integration of stochastic renewable units. This book is written in a modular and tutorial manner and includes many illustrative examples to facilitate its comprehension. It is intended for advanced undergraduate and graduate students in the fields of electric energy systems, applied mathematics and economics. Practitioners in the electric energy sector will benefit as well from the concepts and techniques explained in this book.

Electricity Markets

Sayyad Nojavan,Kazem Zare
Electricity Markets Book PDF

Author : Sayyad Nojavan,Kazem Zare
Publisher : Springer Nature
Page : 274 pages
File Size : 44,6 Mb
Release : 2020-03-10
Category : Business & Economics
ISBN : 9783030369798

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Electricity Markets by Sayyad Nojavan,Kazem Zare Pdf

This book analyzes new electricity pricing models that consider uncertainties in the power market due to the changing behavior of market players and the implementation of renewable distributed generation and responsive loads. In-depth chapters examine the different types of market players including the generation, transmission, and distribution companies, virtual power plants, demand response aggregators, and energy hubs and microgrids. Expert authors propose optimal operational models for short-term performance and scheduling and present readers with solutions for pricing challenges in uncertain environments. This book is useful for engineers, researchers and students involved in integrating demand response programs into smart grids and for electricity market operation and planning. Proposes optimal operation models; Discusses the various players in today's electricity markets; Describes the effects of demand response programs in smart grids.

Uncertainties in energy markets and their consideration in energy storage evaluation

Keles, Dogan
Uncertainties in energy markets and their consideration in energy storage evaluation Book PDF

Author : Keles, Dogan
Publisher : KIT Scientific Publishing
Page : 260 pages
File Size : 40,6 Mb
Release : 2014-05-22
Category : Business & Economics
ISBN : 9783731500469

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Uncertainties in energy markets and their consideration in energy storage evaluation by Keles, Dogan Pdf

This book successfully illustrates the modeling of electricity prices with the help of stochastic processes. The relatively new phenomenon of negative prices is also integrated into the models. The integration of feed-in from wind power plants in energy models is also very innovative. This approach helps to simulate electricity prices in order to take into account the "merit-order effect of renewable energy". Finally, the models are used for the techno-economic evaluation of energy storages.

An Introduction to Stochastic Modeling

Howard M. Taylor,Samuel Karlin
An Introduction to Stochastic Modeling Book PDF

Author : Howard M. Taylor,Samuel Karlin
Publisher : Academic Press
Page : 410 pages
File Size : 43,9 Mb
Release : 2014-05-10
Category : Mathematics
ISBN : 9781483269276

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An Introduction to Stochastic Modeling by Howard M. Taylor,Samuel Karlin Pdf

An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Decision Making Under Uncertainty in Electricity Markets

Antonio J. Conejo,Miguel Carrión,Juan M. Morales
Decision Making Under Uncertainty in Electricity Markets Book PDF

Author : Antonio J. Conejo,Miguel Carrión,Juan M. Morales
Publisher : Springer
Page : 542 pages
File Size : 40,8 Mb
Release : 2010-11-11
Category : Business & Economics
ISBN : 1441974229

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Decision Making Under Uncertainty in Electricity Markets by Antonio J. Conejo,Miguel Carrión,Juan M. Morales Pdf

Decision Making Under Uncertainty in Electricity Markets provides models and procedures to be used by electricity market agents to make informed decisions under uncertainty. These procedures rely on well established stochastic programming models, which make them efficient and robust. Particularly, these techniques allow electricity producers to derive offering strategies for the pool and contracting decisions in the futures market. Retailers use these techniques to derive selling prices to clients and energy procurement strategies through the pool, the futures market and bilateral contracting. Using the proposed models, consumers can derive the best energy procurement strategies using the available trading floors. The market operator can use the techniques proposed in this book to clear simultaneously energy and reserve markets promoting efficiency and equity. The techniques described in this book are of interest for professionals working on energy markets, and for graduate students in power engineering, applied mathematics, applied economics, and operations research.

Forecasting Models of Electricity Prices

Javier Contreras
Forecasting Models of Electricity Prices Book PDF

Author : Javier Contreras
Publisher : MDPI
Page : 259 pages
File Size : 42,9 Mb
Release : 2018-04-06
Category : Electronic
ISBN : 9783038424154

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Forecasting Models of Electricity Prices by Javier Contreras Pdf

This book is a printed edition of the Special Issue "Forecasting Models of Electricity Prices" that was published in Energies