Valuation, hedging and speculation in competitive electricity markets: a fundamental approach
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston <<[u.a.]>>
Kluwer
2001
|
| Schriftenreihe: | The Kluwer international series in engineering and computer science
643 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references (p. [207]-212) and index |
| Beschreibung: | XIV, 214 S. graph. Darst. |
| ISBN: | 0792375289 |
Internformat
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| 245 | 1 | 0 | |a Valuation, hedging and speculation in competitive electricity markets |b a fundamental approach |c by Petter L. Skantze ; Marija D. Ilic |
| 264 | 1 | |a Boston <<[u.a.]>> |b Kluwer |c 2001 | |
| 300 | |a XIV, 214 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 1 | |a The Kluwer international series in engineering and computer science |v 643 | |
| 500 | |a Includes bibliographical references (p. [207]-212) and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Electric utilities -- United States -- Finance -- Mathematical models | |
| 650 | 4 | |a Stocks -- Prices -- United States -- Mathematical models | |
| 651 | 4 | |a USA | |
| 700 | 1 | |a Ilic, Marija D. |d 1951- |e Verfasser |0 (DE-588)124110495 |4 aut | |
| 830 | 0 | |a The Kluwer international series in engineering and computer science |v 643 |w (DE-604)BV023545171 |9 643 | |
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Datensatz im Suchindex
| _version_ | 1804138200822710272 |
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| adam_text | Titel: Valuation, hedging, and speculation in competitive electricity markets
Autor: Skantze, Petter L
Jahr: 2001
Table of Contents
PREFACE........................................................................xii
1 INTRODUCTION.................................................................................1
2 OVERVIEW OF VALUATION AND HEDGING THEORY...........7
2.1 VALUING A COMMITMENT OPTION.............................................7
2.2 Market based valuation.....................................................12
2.2.1 Spot Forward Relationships in a Risk Neutral World......14
2.2.2 Information Content in Forward Markets........................15
2.2.3 Spot Forward Relationship when Firms are Risk Averse. 16
2.2.4 Arbitrage Pricing Theory.................................................17
2.2.5 Application of Arbitrage Pricing Theory in Valuing
Forward Contracts...........................................................19
2.2.6 Model Based Pricing and Dynamic Replication..............21
2.2.7 Limits to Arbitrage Pricing Arguments............................23
2.2.8 Spot Forward Dynamics for Storable Commodities.........24
2.2.9 What is Term Structure Modeling?..................................26
2.2.10 Physical Interpretation of Term Structure........................27
3 OVERVIEW OF THE COMPETITIVE ELECTRICITY
INDUSTRY..............................................................................................31
3.1 Description of Market Participants................................31
3.1.1 Generation Companies....................................................31
3.1.2 Load Serving Entities ......................................................31
3.1.3 Power Marketers..............................................................32
3.1.4 Exchanges and Market Makers........................................32
3.1.5 Independent System Operators.........................................33
3.2 Electricity Markets............................................................34
3.2.1 The Spot Market...............................................................34
3.2.2 The Physical Forward Market..........................................35
3.2.3 The Financial Futures Market..........................................36
3.2.4 The Derivatives Markets...................................................39
viii
3.2.5 Generation Assets and Non-Standard Contracts..............39
4 ARBITRAGE PRICING AND THE TEMPORAL
RELATIONSHIP OF ELECTRICITY PRICES..................................41
4.1 Is Electricity Really Non-storable?...............................43
4.1.1 Storage Strategies in Oil and Gas Plants.........................43
4.1.2 Storage Strategies in Hydroelectric Dams.......................46
4.2 Arbitrage and the Relationship Between Physical and
Financial Contracts for Electricity...........................................49
4.2.1 Application of Arbitrage Pricing Theory in the Relative
Pricing of Physical Forward and Financial Futures
Contracts on Electricity....................................................49
5 BUILDING A PRICE MODEL
FOR ELECTRICITY MARKETS.........................................................53
5.1 Structure of Model.............................................................54
5.2 Modeling Approaches..........................................................56
5.2.1 Quantitative Modeling of Electricity Prices ..................56
5.2.2 Production Based Modeling of Electricity Prices............57
5.2.3 Economic Equilibrium Models of Electricity Prices........58
5.2.4 ^gent-based Modeling of Electricity Prices....................58
5.2.5 Experimental Modeling of Electricity Prices ..................59
5.2.6 Fundamental Modeling of Electricity Prices....................59
6 A BID-BASED STOCHASTIC MODEL
FOR ELECTRICITY PRICES..............................................................61
6.1 Load Characteristics..........................................................61
6.2 Supply Characteristics.......................................................62
6.3 price as a Function of Load and Supply...........................63
6.4 Stochastic Load Model.......................................................66
6.4.1 Modeling Demand Seasonality.........................................66
6.4.2 Modeling Load Uncertainty.............................................68
6.4.3 Mean Reversion.................................................. JO
6-4.4 Stochastic Growth..........................................................JO
ix
6.5 Stochastic Supply Process.................................................72
6.5.1 Seasonality of Supply........................................................73
6.5.2 Modeling Supply Uncertainty...........................................74
6.5.3 Modeling Unit Outages....................................................75
6.5.4 Modeling Scheduled Maintenance...................................78
6.6 Summary of the Bid-based Stochastic Price Model.....79
6.7 Calibration of the Bid-based Stochastic Model...........79
6.7.1 Generating a Time History of Supply States....................81
6.7.2 Estimating Deterministic Seasonal Load and Supply
Shapes...............................................................................82
6.7.3 Calibration of Principal Component Vectors...................83
6.7.4 Estimation of the Volatility,
Drift and Mean Reversion Rate........................................87
6.8 The Time-scale Separated
Bid-based Stochastic Model..............................................92
6.9 Simulations............................................................................98
6.9.1 Monthly Parameters.......................................................100
6.9.2 Properties of the Daily Weight Process.........................102
6.9.3 Daily Price Simulations..................................................105
6.9.4 Daily Price Simulations with Time Scale Separation.....106
6.10 Concluding Remarks..........................................................110
7 OPTIMAL FUTURES MARKET STRATEGIES
FOR ENERGY SERVICE PROVIDERS............................................113
7.1 Hedging Risk For Energy Service Providers................113
7.2 The Physical and Economic Interaction of Energy
Service Providers and their Customers........................114
7.3 Problem Formulation........................................................116
7.4 Modeling...............................................................................117
7.4.1 Cash Flow Model...........................................................118
7.4.2 Price and Demand Models.............................................120
7.4.3 Modeling the Firm s Risk Preference.............................124
7.4.4 Summary of the Hedging Problem.................................124
7.5 Efficient Reformulation of Cost Function..................125
7.6 Solution Approaches.........................................................126
7.7 The End State Problem......................................................127
7.7.1 Static Optimization Over Multiple Delivery Periods.....129
7.8 Thoughts on the Complexity of the ESP Hedging
Problem.................................................................................131
CHAPTER 8 VALUING GENERATION ASSETS...............135
8.1 Introduction........................................................................135
8.2 A Principal Component Based Price Model for
Electricity Spot Markets.............................................................136
8.2.1 Formulating the Unit Commitment Decision.................137
8.2.2 Price Model Used in the Unit Commitment Problem.....139
8.3 Creating a Lookup Table of Cash flows.......................140
8.3.1 Incorporating Stochastic Fuel Prices.............................141
8.4 Linking Simulated Prices to the Lookup Table to
Generate Simulated Cash Flows.....................................143
8.4.1 Generation Asset Valuation............................................143
8.5 Concluding Remarks..........................................................145
8.6 Figures...................................................................................146
9 MODELING LOCATIONAL PRICE DIFFERENCES................149
9.1 Introduction........................................................................149
9.2 Locational Pricing and Markets for Transmission ... 149
9.2.1 Pricing Flows in Electric Power Networks...................149
9.2.2 Contracts for Transmission............................................750
9.2.3 Valuing Transmission Rights..........................................757
9.3 Modeling Transmission Rights as a Derivative on Spot
Prices.....................................................................................154
9.4 Overview of existing price models..................................157
9.5 Interactions between neighboring markets................158
9.6 Valuing a Transmission Right.........................................161
9.7 Simulation based valuation............................................161
9.8 Dynamic Hedging................................................................165
9.8.1 Dynamic Hedging and the Bid-based Model..................166
xi
9.8.2 Implications on the Valuation of a Spread Option.........167
9.8.3 Replicating a Flexible Transmission Right under the Bid-
based Price Model..........................................................169
9.9 Generalization of the model to A 3 node example.....171
10 INVESTMENT DYNAMICS AND LONG TERM PRICE
TRENDS IN COMPETITIVE ELECTRICITY MARKETS............177
10.1 Introduction........................................................................177
10.2 A Long Term Model For Electricity Prices..................178
10.2.1 Stochastic Demand Process...........................................178
10.3 Modeling Investment Dynamics......................................179
10.3.1 Backward Looking Investment.......................................179
10.3.2 Forward Looking Investment.........................................182
10.4 A DYNAMIC NOTION OF RELIABILITY......................................185
10.5 Effects of Government Policy........................................187
10.5.1 Comments on Simulation Results...................................189
10.6 Concluding Remarks..........................................................190
11 CONCLUSION................................................................................193
APPENDIX A....................................................................197
APPENDIX B....................................................................201
REFERENCES.................................................................207
INDEX...........................................................................213
|
| adam_txt |
Titel: Valuation, hedging, and speculation in competitive electricity markets
Autor: Skantze, Petter L
Jahr: 2001
Table of Contents
PREFACE.xii
1 INTRODUCTION.1
2 OVERVIEW OF VALUATION AND HEDGING THEORY.7
2.1 VALUING A COMMITMENT OPTION.7
2.2 Market based valuation.12
2.2.1 Spot Forward Relationships in a Risk Neutral World.14
2.2.2 Information Content in Forward Markets.15
2.2.3 Spot Forward Relationship when Firms are Risk Averse. 16
2.2.4 Arbitrage Pricing Theory.17
2.2.5 Application of Arbitrage Pricing Theory in Valuing
Forward Contracts.19
2.2.6 Model Based Pricing and Dynamic Replication.21
2.2.7 Limits to Arbitrage Pricing Arguments.23
2.2.8 Spot Forward Dynamics for Storable Commodities.24
2.2.9 What is Term Structure Modeling?.26
2.2.10 Physical Interpretation of Term Structure.27
3 OVERVIEW OF THE COMPETITIVE ELECTRICITY
INDUSTRY.31
3.1 Description of Market Participants.31
3.1.1 Generation Companies.31
3.1.2 Load Serving Entities .31
3.1.3 Power Marketers.32
3.1.4 Exchanges and Market Makers.32
3.1.5 Independent System Operators.33
3.2 Electricity Markets.34
3.2.1 The Spot Market.34
3.2.2 The Physical Forward Market.35
3.2.3 The Financial Futures Market.36
3.2.4 The Derivatives Markets.39
viii
3.2.5 Generation Assets and Non-Standard Contracts.39
4 ARBITRAGE PRICING AND THE TEMPORAL
RELATIONSHIP OF ELECTRICITY PRICES.41
4.1 Is Electricity Really Non-storable?.43
4.1.1 Storage Strategies in Oil and Gas Plants.43
4.1.2 Storage Strategies in Hydroelectric Dams.46
4.2 Arbitrage and the Relationship Between Physical and
Financial Contracts for Electricity.49
4.2.1 Application of Arbitrage Pricing Theory in the Relative
Pricing of Physical Forward and Financial Futures
Contracts on Electricity.49
5 BUILDING A PRICE MODEL
FOR ELECTRICITY MARKETS.53
5.1 Structure of Model.54
5.2 Modeling Approaches.56
5.2.1 Quantitative Modeling of Electricity Prices .56
5.2.2 Production Based Modeling of Electricity Prices.57
5.2.3 Economic Equilibrium Models of Electricity Prices.58
5.2.4 ^gent-based Modeling of Electricity Prices.58
5.2.5 Experimental Modeling of Electricity Prices .59
5.2.6 Fundamental Modeling of Electricity Prices.59
6 A BID-BASED STOCHASTIC MODEL
FOR ELECTRICITY PRICES.61
6.1 Load Characteristics.61
6.2 Supply Characteristics.62
6.3 price as a Function of Load and Supply.63
6.4 Stochastic Load Model.66
6.4.1 Modeling Demand Seasonality.66
6.4.2 Modeling Load Uncertainty.68
6.4.3 Mean Reversion.'JO
6-4.4 Stochastic Growth.JO
ix
6.5 Stochastic Supply Process.72
6.5.1 Seasonality of Supply.73
6.5.2 Modeling Supply Uncertainty.74
6.5.3 Modeling Unit Outages.75
6.5.4 Modeling Scheduled Maintenance.78
6.6 Summary of the Bid-based Stochastic Price Model.79
6.7 Calibration of the Bid-based Stochastic Model.79
6.7.1 Generating a Time History of Supply States.81
6.7.2 Estimating Deterministic Seasonal Load and Supply
Shapes.82
6.7.3 Calibration of Principal Component Vectors.83
6.7.4 Estimation of the Volatility,
Drift and Mean Reversion Rate.87
6.8 The Time-scale Separated
Bid-based Stochastic Model.92
6.9 Simulations.98
6.9.1 Monthly Parameters.100
6.9.2 Properties of the Daily Weight Process.102
6.9.3 Daily Price Simulations.105
6.9.4 Daily Price Simulations with Time Scale Separation.106
6.10 Concluding Remarks.110
7 OPTIMAL FUTURES MARKET STRATEGIES
FOR ENERGY SERVICE PROVIDERS.113
7.1 Hedging Risk For Energy Service Providers.113
7.2 The Physical and Economic Interaction of Energy
Service Providers and their Customers.114
7.3 Problem Formulation.116
7.4 Modeling.117
7.4.1 Cash Flow Model.118
7.4.2 Price and Demand Models.120
7.4.3 Modeling the Firm's Risk Preference.124
7.4.4 Summary of the Hedging Problem.124
7.5 Efficient Reformulation of Cost Function.125
7.6 Solution Approaches.126
7.7 The End State Problem.127
7.7.1 Static Optimization Over Multiple Delivery Periods.129
7.8 Thoughts on the Complexity of the ESP Hedging
Problem.131
CHAPTER 8 VALUING GENERATION ASSETS.135
8.1 Introduction.135
8.2 A Principal Component Based Price Model for
Electricity Spot Markets.136
8.2.1 Formulating the Unit Commitment Decision.137
8.2.2 Price Model Used in the Unit Commitment Problem.139
8.3 Creating a Lookup Table of Cash flows.140
8.3.1 Incorporating Stochastic Fuel Prices.141
8.4 Linking Simulated Prices to the Lookup Table to
Generate Simulated Cash Flows.143
8.4.1 Generation Asset Valuation.143
8.5 Concluding Remarks.145
8.6 Figures.146
9 MODELING LOCATIONAL PRICE DIFFERENCES.149
9.1 Introduction.149
9.2 Locational Pricing and Markets for Transmission . 149
9.2.1 Pricing Flows in Electric Power Networks.149
9.2.2 Contracts for Transmission.750
9.2.3 Valuing Transmission Rights.757
9.3 Modeling Transmission Rights as a Derivative on Spot
Prices.154
9.4 Overview of existing price models.157
9.5 Interactions between neighboring markets.158
9.6 Valuing a Transmission Right.161
9.7 Simulation based valuation.161
9.8 Dynamic Hedging.165
9.8.1 Dynamic Hedging and the Bid-based Model.166
xi
9.8.2 Implications on the Valuation of a Spread Option.167
9.8.3 Replicating a Flexible Transmission Right under the Bid-
based Price Model.169
9.9 Generalization of the model to A 3 node example.171
10 INVESTMENT DYNAMICS AND LONG TERM PRICE
TRENDS IN COMPETITIVE ELECTRICITY MARKETS.177
10.1 Introduction.177
10.2 A Long Term Model For Electricity Prices.178
10.2.1 Stochastic Demand Process.178
10.3 Modeling Investment Dynamics.179
10.3.1 Backward Looking Investment.179
10.3.2 Forward Looking Investment.182
10.4 A DYNAMIC NOTION OF RELIABILITY.185
10.5 Effects of Government Policy.187
10.5.1 Comments on Simulation Results.189
10.6 Concluding Remarks.190
11 CONCLUSION.193
APPENDIX A.197
APPENDIX B.201
REFERENCES.207
INDEX.213 |
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| spelling | Skantze, Petter L. 1973- Verfasser (DE-588)124110517 aut Valuation, hedging and speculation in competitive electricity markets a fundamental approach by Petter L. Skantze ; Marija D. Ilic Boston <<[u.a.]>> Kluwer 2001 XIV, 214 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Kluwer international series in engineering and computer science 643 Includes bibliographical references (p. [207]-212) and index Mathematisches Modell Electric utilities -- United States -- Finance -- Mathematical models Stocks -- Prices -- United States -- Mathematical models USA Ilic, Marija D. 1951- Verfasser (DE-588)124110495 aut The Kluwer international series in engineering and computer science 643 (DE-604)BV023545171 643 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016872467&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Skantze, Petter L. 1973- Ilic, Marija D. 1951- Valuation, hedging and speculation in competitive electricity markets a fundamental approach The Kluwer international series in engineering and computer science Mathematisches Modell Electric utilities -- United States -- Finance -- Mathematical models Stocks -- Prices -- United States -- Mathematical models |
| title | Valuation, hedging and speculation in competitive electricity markets a fundamental approach |
| title_auth | Valuation, hedging and speculation in competitive electricity markets a fundamental approach |
| title_exact_search | Valuation, hedging and speculation in competitive electricity markets a fundamental approach |
| title_exact_search_txtP | Valuation, hedging and speculation in competitive electricity markets a fundamental approach |
| title_full | Valuation, hedging and speculation in competitive electricity markets a fundamental approach by Petter L. Skantze ; Marija D. Ilic |
| title_fullStr | Valuation, hedging and speculation in competitive electricity markets a fundamental approach by Petter L. Skantze ; Marija D. Ilic |
| title_full_unstemmed | Valuation, hedging and speculation in competitive electricity markets a fundamental approach by Petter L. Skantze ; Marija D. Ilic |
| title_short | Valuation, hedging and speculation in competitive electricity markets |
| title_sort | valuation hedging and speculation in competitive electricity markets a fundamental approach |
| title_sub | a fundamental approach |
| topic | Mathematisches Modell Electric utilities -- United States -- Finance -- Mathematical models Stocks -- Prices -- United States -- Mathematical models |
| topic_facet | Mathematisches Modell Electric utilities -- United States -- Finance -- Mathematical models Stocks -- Prices -- United States -- Mathematical models USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016872467&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023545171 |
| work_keys_str_mv | AT skantzepetterl valuationhedgingandspeculationincompetitiveelectricitymarketsafundamentalapproach AT ilicmarijad valuationhedgingandspeculationincompetitiveelectricitymarketsafundamentalapproach |