Valuation, Hedging and Speculation in Competitive Electricity Markets : A Fundamental Approach (Kluwer International Series in Engineering and Compute

個数:

Valuation, Hedging and Speculation in Competitive Electricity Markets : A Fundamental Approach (Kluwer International Series in Engineering and Compute

  • 提携先の海外書籍取次会社に在庫がございます。通常3週間で発送いたします。
    重要ご説明事項
    1. 納期遅延や、ご入手不能となる場合が若干ございます。
    2. 複数冊ご注文の場合、分割発送となる場合がございます。
    3. 美品のご指定は承りかねます。
  • 【入荷遅延について】
    世界情勢の影響により、海外からお取り寄せとなる洋書・洋古書の入荷が、表示している標準的な納期よりも遅延する場合がございます。
    おそれいりますが、あらかじめご了承くださいますようお願い申し上げます。
  • ◆画像の表紙や帯等は実物とは異なる場合があります。
  • ◆ウェブストアでの洋書販売価格は、弊社店舗等での販売価格とは異なります。
    また、洋書販売価格は、ご注文確定時点での日本円価格となります。
    ご注文確定後に、同じ洋書の販売価格が変動しても、それは反映されません。
  • 製本 Hardcover:ハードカバー版/ページ数 214 p.
  • 言語 ENG
  • 商品コード 9780792375289
  • DDC分類 333.7932310113

Full Description

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.

Contents

Preface. 1. Introduction. 2. Overview of Valuation and Hedging Theory. 3. Overview of the Competitive Electricity Industry. 4. Arbitrage Pricing and the Temporal Relationship of Electricity Prices. 5. Building a Price Model for Electricity Markets. 6. A Bid-Based Stochastic Model for Electricity Prices. 7. Optimal Futures Market Strategies for Energy Service Providers. 8. Valuing Generation Assets. 9. Modeling Locational Price Differences. 10. Investment Dynamics and Long Term Price Trends in Competitive Electricity Markets. 11. Conclusion. Appendix A. Appendix B. References. Index.