Valuation, Hedging and Speculation in Competitive Electricity Markets - A Fundamental Approach (Hardcover, 2001 ed.)

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 toinvest 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.

General

Imprint:	Springer
Country of origin:	Netherlands
Series:	Power Electronics and Power Systems
Release date:	October 2001
First published:	October 2001
Authors:	Petter L. Skantze • Marija Ilic
Dimensions:	235 x 155 x 14mm (L x W x T)
Format:	Hardcover
Pages:	214
Edition:	2001 ed.
ISBN-13:	978-0-7923-7528-9
Categories:	Books > Professional & Technical > Energy technology & engineering > General Books > Business & Economics > Industry & industrial studies > Energy industries & utilities > Electrical power industries
LSN:	0-7923-7528-9
Barcode:	9780792375289

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