Constrained Capacity And Equilibrium Forward Premia In Electricity Markets
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Author | : Carl J. Ullrich |
Publisher | : |
Total Pages | : 0 |
Release | : 2007 |
Genre | : |
ISBN | : |
This paper extends the equilibrium electricity pricing model in Bessembinder and Lemmon (2002). The new model accounts for constrained capacity, an important feature in electricity markets. Explicitly including a role for capacity allows the model to reproduce the price spikes observed in wholesale electricity markets using reasonable parameter values. The model implies that the equilibrium forward premium, defined to be the forward price minus the expected spot price, is decreasing in spot price variance when the expected spot price is low, but is increasing in the spot price variance when the expected spot price is high. I extend the empirical work in Longstaff and Wang (2004) and show that data from the Pennsylvania-New Jersey-Maryland (PJM) market support these model predictions.
Author | : Ross Baldick |
Publisher | : |
Total Pages | : 188 |
Release | : 2001 |
Genre | : Electric power production |
ISBN | : |
Author | : Afzal Saeed Siddiqui |
Publisher | : |
Total Pages | : 298 |
Release | : 2002 |
Genre | : |
ISBN | : |
Author | : Kelvin Lee |
Publisher | : |
Total Pages | : 93 |
Release | : 2008 |
Genre | : Electric power |
ISBN | : |
Author | : Jacques Girod |
Publisher | : Springer |
Total Pages | : 290 |
Release | : 2006-12-14 |
Genre | : Business & Economics |
ISBN | : 0230626319 |
The complexity and volatility of energy markets creates strong demand for quantitative analysis and econometric techniques. This book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in today's energy markets for a better understanding of the working of energy systems and energy economics.
Author | : Fred Espen Benth |
Publisher | : Springer Science & Business Media |
Total Pages | : 318 |
Release | : 2013-08-28 |
Genre | : Business & Economics |
ISBN | : 1461472482 |
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Author | : Fereidoon Sioshansi |
Publisher | : Elsevier |
Total Pages | : 625 |
Release | : 2011-10-10 |
Genre | : Technology & Engineering |
ISBN | : 0080557716 |
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 | : |
Publisher | : Elsevier |
Total Pages | : 784 |
Release | : 2021-12-09 |
Genre | : Business & Economics |
ISBN | : 0323988881 |
Handbook of Industrial Organization Volume 4 highlights new advances in the field, with this new volume presenting interesting chapters. Each chapter is written by an international board of authors. - Part of the renowned Handbooks in Economics series - Chapters are contributed by some of the leading experts in their fields - A source, reference and teaching supplement for industrial organizations or industrial economists
Author | : Michael A. Crew |
Publisher | : Springer Science & Business Media |
Total Pages | : 247 |
Release | : 2006-02-20 |
Genre | : Business & Economics |
ISBN | : 038723196X |
Deregulation has introduced competition into traditionally monopolistic markets, particularly telecommunications and electric utilities. This book brings together ten essays that were presented at the Center for Research in Regulated Industries at Rutgers University and funded by several regulated companies. The authors, who include young scholars as well as established and highly regarded consultants and researchers, address some of the major issues now facing network industries and regulators - deregulation, competition, stranded assets, diversification, pricing, and mergers and acquisitions.
Author | : |
Publisher | : |
Total Pages | : 564 |
Release | : 2006 |
Genre | : Dissertations, Academic |
ISBN | : |