Valuation Hedging And Speculation In Competitive Electricity Markets

Author : Petter L. Skantze,Marija Ilic
Publisher : Springer Science & Business Media
Page : 220 pages
File Size : 47,8 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.

Author : Ahmad Faruqui,Kelly Eakin
Publisher : Springer Science & Business Media
Page : 463 pages
File Size : 45,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461545293

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Pricing in Competitive Electricity Markets by Ahmad Faruqui,Kelly Eakin Pdf

Electricity markets are being deregulated or face new regulatory frameworks. In such changing markets, new pricing strategies will need to consider such factors as cost, value of service and pricing by objective. Pricing in Competitive Electricity Markets introduces a new family of pricing concepts, methodologies, models, tools and databases focused on market-based pricing. This book reviews important theoretical pricing issues as well as practical pricing applications for changing electricity markets.

Author : Hung-po Chao,Hillard G. Huntington
Publisher : Springer Science & Business Media
Page : 213 pages
File Size : 44,5 Mb
Release : 2013-12-01
Category : Business & Economics
ISBN : 9781461555476

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Designing Competitive Electricity Markets by Hung-po Chao,Hillard G. Huntington Pdf

The authors are prominent economists, operation researchers, and engineers who have been instrumental in the development of the conceptual framework for electric power restructuring both in the United States and in other countries. Rather than espousing a particular market design for the industry's future, each author focuses on an important issue or set of issues and tries to frame the questions for designing electricity markets using an international perspective. The book focuses on the economic and technical questions important in understanding the industry's long-term development rather than providing immediate answers for the current political debates on industry competition.

Author : Peter C. Fusaro
Publisher : McGraw Hill Professional
Page : 290 pages
File Size : 41,7 Mb
Release : 1998
Category : Business & Economics
ISBN : 0786311843

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Energy Risk Management by Peter C. Fusaro Pdf

Addressing the important issues of worldwide energy price risk management, this work assembles the leading industry figures to explain general theories and practices for hedging risk, and specific methods to effectively manage risk in markets such as coal, natural gas, electricity, and hydropower.

Author : Robert G. Ethier
Publisher : Unknown
Page : 300 pages
File Size : 44,8 Mb
Release : 1999
Category : Electronic
ISBN : CORNELL:31924085763435

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Competitive Electricity Markets, Prices and Generator Entry and Exit by Robert G. Ethier Pdf

Author : Fereidoon P. Sioshansi
Publisher : Elsevier
Page : 624 pages
File Size : 55,9 Mb
Release : 2011-10-10
Category : Technology & Engineering
ISBN : 0080557716

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Competitive Electricity Markets by Fereidoon P. Sioshansi Pdf

After 2 decades, policymakers and regulators agree that electricity market reform, liberalization and privatization remains partly art. Moreover, the international experience suggests that in nearly all cases, initial market reform leads to unintended consequences or introduces new risks, which must be addressed in subsequent “reform of the reforms. Competitive Electricity Markets describes the evolution of the market reform process including a number of challenging issues such as infrastructure investment, resource adequacy, capacity and demand participation, market power, distributed generation, renewable energy and global climate change. Sequel to Electricity Market Reform: An International Perspective in the same series published in 2006 Contributions from renowned scholars and practitioners on significant electricity market design and implementation issues Covers timely topics on the evolution of electricity market liberalization worldwide

Author : Joseph L. Welch, PE,C. J. Bolling, PhD
Publisher : Lulu.com
Page : 224 pages
File Size : 53,6 Mb
Release : 2009
Category : Business & Economics
ISBN : 9780557160174

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Competitive Electricity Markets: The Power of Choice by Joseph L. Welch, PE,C. J. Bolling, PhD Pdf

Critique of the US Electricity Industry. Analysis of derailed industry deregulation initiatives. Sketches a new, competitively structured Energy Policy Template.

Author : Alexander Eydeland,Krzysztof Wolyniec
Publisher : John Wiley & Sons
Page : 506 pages
File Size : 51,7 Mb
Release : 2003-02-03
Category : Business & Economics
ISBN : 9780471455875

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Energy and Power Risk Management by Alexander Eydeland,Krzysztof Wolyniec Pdf

Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power

Author : Hung-Po Chao,Hillard G. Huntington
Publisher : Unknown
Page : 228 pages
File Size : 43,5 Mb
Release : 2014-09-17
Category : Electronic
ISBN : 1461555485

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Designing Competitive Electricity Markets by Hung-Po Chao,Hillard G. Huntington Pdf

Author : Mohammad Shahidehpour,Hatim Yamin,Zuyi Li
Publisher : John Wiley & Sons
Page : 552 pages
File Size : 53,5 Mb
Release : 2003-05-28
Category : Technology & Engineering
ISBN : 9780471463948

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Market Operations in Electric Power Systems by Mohammad Shahidehpour,Hatim Yamin,Zuyi Li Pdf

An essential overview of post-deregulation market operations inelectrical power systems Until recently the U.S. electricity industry was dominated byvertically integrated utilities. It is now evolving into adistributive and competitive market driven by market forces andincreased competition. With electricity amounting to a $200 billionper year market in the United States, the implications of thisrestructuring will naturally affect the rest of the world. Why is restructuring necessary? What are the components ofrestructuring? How is the new structure different from the oldmonopoly? How are the participants strategizing their options tomaximize their revenues? What are the market risks and how are theyevaluated? How are interchange transactions analyzed and approved?Starting with a background sketch of the industry, this hands-onreference provides insights into the new trends in power systemsoperation and control, and highlights advanced issues in thefield. Written for both technical and nontechnical professionals involvedin power engineering, finance, and marketing, this must-haveresource discusses: * Market structure and operation of electric power systems * Load and price forecasting and arbitrage * Price-based unit commitment and security constrained unitcommitment * Market power analysis and game theory applications * Ancillary services auction market design * Transmission pricing and congestion Using real-world case studies, this timely survey offers engineers,consultants, researchers, financial managers, university professorsand students, and other professionals in the industry acomprehensive review of electricity restructuring and how itsradical effects will shape the market.

Author : Iris Marie Mack
Publisher : John Wiley & Sons
Page : 309 pages
File Size : 51,9 Mb
Release : 2014-04-07
Category : Business & Economics
ISBN : 9781118339343

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Energy Trading and Risk Management by Iris Marie Mack Pdf

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 finance. With an approachable writing style, Iris Mack breaks down the three primary applications for energy derivatives markets – Risk Management, Speculation, and Investment Portfolio Diversification – in a way that hedge fund traders, consultants, and energy market participants can apply in their day to day trading activities. Moving from the fundamentals of energy markets through simple and complex derivatives trading, hedging strategies, and industry-specific case studies, Dr. Mack walks readers through energy trading and risk management concepts at an instructive pace, supporting her explanations with real-world examples, illustrations, charts, and precise definitions of important and often-misunderstood terms. From stochastic pricing models for exotic derivatives, to modern portfolio theory (MPT), energy portfolio management (EPM), to case studies dealing specifically with risk management challenges unique to wind and hydro-electric power, the bookguides readers through the complex world of energy trading and risk management to help investors, executives, and energy professionals ensure profitability and optimal risk mitigation in every market climate. Energy Trading and Risk Management is a great resource to help grapple with the very interesting but oftentimes complex issues that arise in energy trading and risk management.

Author : Rafal Weron
Publisher : John Wiley & Sons
Page : 192 pages
File Size : 52,8 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.

Author : Jean-Michel Glachant,Dominique Finon,Adrien De Hauteclocque
Publisher : Edward Elgar Publishing
Page : 335 pages
File Size : 45,5 Mb
Release : 2011
Category : Business & Economics
ISBN : 9781849804806

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Competition, Contracts and Electricity Markets by Jean-Michel Glachant,Dominique Finon,Adrien De Hauteclocque Pdf

This book fills a gap in the existing literature by dealing with several issues linked to long-term contracts and the efficiency of electricity markets. These include the impact of long-term contracts and vertical integration on effective competition, generation investment in risky markets, and the challenges for competition policy principles. On the one hand, long-term contracts may contribute to lasting generation capability by allowing for a more efficient allocation of risk. On the other hand, they can create conditions for imperfect competition and thus impair short-term efficiency. The contributors – prominent academics and policy experts with inter-disciplinary perspectives – develop fresh theoretical and practical insights on this important concern for current electricity markets. This highly accessible book will strongly appeal to both academic and professional audiences including scholars of industrial, organizational and public sector economics, and competition and antitrust law. It will also be of value to regulatory and antitrust authorities, governmental policymakers, and consultants in electricity law and economics.

Author : Ana Madureira,Cecilia Reis,Viriato Marques
Publisher : Springer Science & Business Media
Page : 493 pages
File Size : 40,8 Mb
Release : 2012-11-08
Category : Technology & Engineering
ISBN : 9789400747227

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Computational Intelligence and Decision Making by Ana Madureira,Cecilia Reis,Viriato Marques Pdf

This book provides a general overview and original analysis of new developments and applications in several areas of Computational Intelligence and Information Systems. Computational Intelligence has become an important tool for engineers to develop and analyze novel techniques to solve problems in basic sciences such as physics, chemistry, biology, engineering, environment and social sciences. The material contained in this book addresses the foundations and applications of Artificial Intelligence and Decision Support Systems, Complex and Biological Inspired Systems, Simulation and Evolution of Real and Artificial Life Forms, Intelligent Models and Control Systems, Knowledge and Learning Technologies, Web Semantics and Ontologies, Intelligent Tutoring Systems, Intelligent Power Systems, Self-Organized and Distributed Systems, Intelligent Manufacturing Systems and Affective Computing. The contributions have all been written by international experts, who provide current views on the topics discussed and present recent, original insights from their own experience in these fields.

Author : Nuno Miguel Fonseca Ferreira,José António Tenreiro Machado
Publisher : Springer
Page : 311 pages
File Size : 42,5 Mb
Release : 2014-08-18
Category : Technology & Engineering
ISBN : 9789400771833

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Mathematical Methods in Engineering by Nuno Miguel Fonseca Ferreira,José António Tenreiro Machado Pdf

This book presents a careful selection of the contributions presented at the Mathematical Methods in Engineering (MME10) International Symposium, held at the Polytechnic Institute of Coimbra- Engineering Institute of Coimbra (IPC/ISEC), Portugal, October 21-24, 2010. The volume discusses recent developments about theoretical and applied mathematics toward the solution of engineering problems, thus covering a wide range of topics, such as: Automatic Control, Autonomous Systems, Computer Science, Dynamical Systems and Control, Electronics, Finance and Economics, Fluid Mechanics and Heat Transfer, Fractional Mathematics, Fractional Transforms and Their Applications, Fuzzy Sets and Systems, Image and Signal Analysis, Image Processing, Mechanics, Mechatronics, Motor Control and Human Movement Analysis, Nonlinear Dynamics, Partial Differential Equations, Robotics, Acoustics, Vibration and Control, and Wavelets.