Optimization methods for gas and power markets: theory and cases
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Basingstoke ; New York, NY
Palgrave Macmillan
2016
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| Schriftenreihe: | Applied quantitative finance series
|
| Schlagworte: | |
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| Beschreibung: | 1 Online-Ressource (XVII, 192 Seiten) |
| ISBN: | 9781137412973 |
| DOI: | 10.1057/9781137412973 |
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| adam_text | OPTIMIZATION METHODS FOR GAS AND POWER MARKETS
/ EDOLI, ENRICO
: 2016
ABSTRACT / INHALTSTEXT
THIS IS A VALUABLE, QUANTITATIVE GUIDE TO THE TECHNICALITIES OF
OPTIMIZATION METHODOLOGIES IN GAS AND POWER MARKETS, AND WILL BE OF
INTEREST TO PRACTITIONERS IN THE ENERGY INDUSTRY AND FINANCIAL SECTOR
WHO WORK IN TRADING, QUANTITATIVE ANALYSIS AND ENERGY RISK MODELING
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
Titel: Optimization methods for gas and power markets
Autor: Edoli, Enrico
Jahr: 2016
Optimization Methods
for Gas and
Power Markets
Theory and Cases
Enrico Edoli
Founder and CEO, Phinergy, Italy
Stefano Fiorenzani
Founder and Chairman, Phinergy, Italy
and
Tiziano Vargiolu
Associate Professor ofProbäbility and Statistics,
University of Padua, Italy
palgrave
macmiUan
Contents
List ofFigures x
ListofTables xiii
Preface xiv
Acknowledgements xvii
1 Optimization in Energy Markets 1
1.1 Classification of optimization problems 1
1.1.1 Linear versus nonlinear problems 1
1.1.2 Deterministic versusstochastic problems 2
1.1.3 Static versus dynamic problems 2
1.2 Optimal portfolio selection among different Investment
alternatives 3
1.3 Energy asset optimization 7
1.3.1 Generation asset Investment valuation with real option
methodology 7
1.3.2 Generation, transportation and storageasset operational
optimization and valuation 11
1.4 Energy trading and optimization 15
1.4.1 Asset allocation with capital constraints 17
1.4.2 Intraday trading 22
2 Optimization Methods 26
2.1 Linear optimization 26
2.1.1 LP problems 27
2.2 Nonlinear optimization 28
2.2.1 Unconstrained problem 28
2.2.2 Constrained problems with equalityconstraints 29
2.2.3 Constrained problems with inequalities constraints 30
2.3 Pricing financial assets 31
2.3.1 Pricing in energy markets 32
2.3.2 Pricing in incomplete markets 32
2.3.3 A motivating example: Utility indifference pricing 33
2.4 Deterministic dynamic programming 35
2.5 Stochastic Dynamic Programming, discrete time 38
2.5.1 A motivating example 39
vii
viii [ Contents
2.5.2 The general case 41
2.5.3 Tree methods 43
2.5.4 Least Square Monte Carlo methods 46
2.5.5 Naive Monte Carlo with linear programming 47
2.6 Stochastic Dynamic Programming, continuous time 48
2.6.1 The Hamilton-Jacobi-Bellman equation 50
2.7 Deterministic numerical methods 55
2.7.1 Finite difference method for HJB equation 55
2.7.2 Boundary conditions 57
2.8 Probabilistic numerical methods 57
2.8.1 Tree methods, continuous time 59
2.8.2 Computationally simple trees in dimension 1 60
2.8.3 Lattice of trees 63
2.8.4 Monte Carlo methods 67
3 Cases onStade Optimization 69
3.1 Case A: Investment alternatives 69
3.1.1 Investment Alternative A 69
3.1.2 Investment Alternative B 70
3.1.3 Investment Alternative C 70
3.2 Case B: Optimal generation mix for an electricity producer: a
mean-variance approach 79
3.3 Conclusions 90
4 Valuing Project Flexibilities Usingthe DiagrammaticApproach 92
4.1 Introduction 92
4.2 Description of the Investment problem 92
4.3 Traditional evaluation methods 94
4.4 Modelling electricity price dynamics 95
4.5 Valuing Investment flexibilities by means of thelattice approach .... 96
4.5.1 Investment alternative A 99
4.5.2 Investment alternative B 99
4.5.3 Investment alternative C 101
4.6 Conclusions 101
5 Virtual Power Plant Contracts 105
5.1 Introduction 105
5.2 Valuation problem 106
5.2.1 Example 110
6 Algorithms Comparison:The SwingCase 114
6.1 Introduction 114
6.2 Swing contracts 115
6.2.1 Indexed strike price modelling for gas swing contracts 115
Contents [ ix
6.2.2 The stochastic control problem 119
6.2.3 Dynamic programming 121
6.3 Finite difference algorithm 122
6.3.1 Boundary conditions 124
6.3.2 The algorithm 126
6.4 Least Square Monte Carlo algorithm 128
6.4.1 The algorithm and a reduction to onedimension 129
6.5 Naive Monte Carlo with linear programming 131
6.6 Numerical experiments 131
6.6.1 Finite differences 132
6.6.2 Least Square Monte Carlo 133
6.6.3 One-year contract 135
6.7 Conclusions 137
7 Storage Contracts 146
7.1 The contract 146
7.2 The evaluation problem 148
7.3 The optimal strategy (in the caseof a physical gas storage) 149
7.4 The Implementation 150
7.4.1 The gas cave 151
7.4.2 The gas spot price 153
7.4.3 The boundary conditions 154
7.4.4 Numerical experiment, no-penaltycase 154
7.4.5 Numerical experiment, penalty case 157
8 Optimal TradingStrategies in Intraday Power Markets 161
8.1 Intraday power markets 161
8.1.1 Intraday power price features 162
8.1.2 Conclusions 169
8.2 Optimal algorithmic tradingin auction-based intraday
power markets 169
8.2.1 The optimization problem 170
8.2.2 Example: Italian intraday market 172
8.3 Optimal algorithmic tradingin continuous time power markets.... 178
8.3.1 The optimization problem 179
8.3.2 Example: EPEX Spot market 181
Notes 185
Index 187
|
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| doi_str_mv | 10.1057/9781137412973 |
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| id | DE-604.BV043546715 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-01T12:13:51Z |
| institution | BVB |
| isbn | 9781137412973 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028962078 |
| oclc_num | 957677787 |
| open_access_boolean | |
| owner | DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-861 DE-523 DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-706 |
| owner_facet | DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-861 DE-523 DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-706 |
| physical | 1 Online-Ressource (XVII, 192 Seiten) |
| psigel | ZDB-2-ECF ZDB-2-ECF_2016 |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| series2 | Applied quantitative finance series |
| spellingShingle | Edoli, Enrico Fiorenzani, Stefano Vargiolu, Tiziano Optimization methods for gas and power markets theory and cases Energy policy Energy and state Business mathematics Finance Science Econometrics Economics Energy Policy, Economics and Management Business Mathematics Finance, general Science, general Naturwissenschaft Wirtschaft Theorie (DE-588)4059787-8 gnd Erdgasmarkt (DE-588)4255997-2 gnd Terminmarkt (DE-588)4184759-3 gnd Rohstoffmarkt (DE-588)4050426-8 gnd Optimierung (DE-588)4043664-0 gnd Energiemarkt (DE-588)4014712-5 gnd |
| subject_GND | (DE-588)4059787-8 (DE-588)4255997-2 (DE-588)4184759-3 (DE-588)4050426-8 (DE-588)4043664-0 (DE-588)4014712-5 |
| title | Optimization methods for gas and power markets theory and cases |
| title_auth | Optimization methods for gas and power markets theory and cases |
| title_exact_search | Optimization methods for gas and power markets theory and cases |
| title_full | Optimization methods for gas and power markets theory and cases Enrico Edoli, Stefano Fiorenzani and Tiziano Vargiolu |
| title_fullStr | Optimization methods for gas and power markets theory and cases Enrico Edoli, Stefano Fiorenzani and Tiziano Vargiolu |
| title_full_unstemmed | Optimization methods for gas and power markets theory and cases Enrico Edoli, Stefano Fiorenzani and Tiziano Vargiolu |
| title_short | Optimization methods for gas and power markets |
| title_sort | optimization methods for gas and power markets theory and cases |
| title_sub | theory and cases |
| topic | Energy policy Energy and state Business mathematics Finance Science Econometrics Economics Energy Policy, Economics and Management Business Mathematics Finance, general Science, general Naturwissenschaft Wirtschaft Theorie (DE-588)4059787-8 gnd Erdgasmarkt (DE-588)4255997-2 gnd Terminmarkt (DE-588)4184759-3 gnd Rohstoffmarkt (DE-588)4050426-8 gnd Optimierung (DE-588)4043664-0 gnd Energiemarkt (DE-588)4014712-5 gnd |
| topic_facet | Energy policy Energy and state Business mathematics Finance Science Econometrics Economics Energy Policy, Economics and Management Business Mathematics Finance, general Science, general Naturwissenschaft Wirtschaft Theorie Erdgasmarkt Terminmarkt Rohstoffmarkt Optimierung Energiemarkt |
| url | https://doi.org/10.1057/9781137412973 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028962078&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028962078&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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