Energy and Power Risk Management

By A. Eydeland. 2002

263 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/551cececa464474400812dfb3d7d0e213b0a0944

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Citations in the corpus

TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, background): “Mean reversion and jumps are two of the salient features of commodities prices (see monographs Eydeland and Wolyniec 2003 and Geman 2005, 2008, for introduction to commodity and energy derivatives markets and modeling).”
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005, background): “One common approach then, is to use as an estimate a rolling (or moving) historical volatility, as described in [11] for instance.”
Electricity derivatives and risk management (2006, background): “non-standard) options like spark spread options, swing options and swaptions [2–6].”
An empirical comparison of alternate regime-switching models or electricity spot prices (2010, background): “As a result, fuel costs might not be a sufficient proxy for the actual marginal cost of generation (Eydeland and Wolyniec, 2003).”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “Eydeland and Wolyniec (2003) develop a hybrid fundamental model and calibrate it to data from ERCOT, NYPOOL and PJM.”
Optimal selling price and energy procurement strategies for a retailer in an electricity market (2009, background): “Hourly call options are 324 used for managing price risks and financially settled against the 325 real-time hourly prices [39].”
A review of electricity product differentiation (2014, background): “Since spot electricity prices are highly volatile with occasional spikes [57–68], LSEs and customers may seek to manage electricity spot-price risk using such hedge instruments as, tolling agreements, forward contracts, and capacity options that are traded in financial markets [69–74].”
Correlation in Energy Markets (2017, background): “While not presenting the details, Eydeland and Wolyniec (2003) study the efficiency of weather hedges by looking at the residual cash flow.”
Futures pricing in electricity markets based on stable CARMA spot models (2012, methodology): “Many spot price models have been suggested for electricity, and we refer to Eydeland and Wolyniec [22] and Benth, ˇSaltyt˙e Benth and Koekebakker [3] for a discussion on various models and other aspects of modelling of energy markets.”
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, unknown): “For recent reviews consult also Bunn and Karakatsani (2003), Eydeland and Wolyniec (2003) and Ventosa et al. (2005).”
Hedging quantity risks with standard power options in a competitive wholesale electricity market (2006, background): “13 This kind of hedging is also considered in [ 11 ]: mean-variance hedging reduces to variance minimization when the pricing measure equals to the physical measure because they consider only forward contracts, which have zero expected value before delivery.”
Pricing Asset Scheduling Flexibility using Optimal Switching (2008, methodology): “Empirical studies (Eydeland and Wolyniec, 2003) have suggested that the spark-spread Pt{HR:Gt is indeed stationary.”
Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008, unknown): “Eydeland and Wolyniec (2003) show that the predictable component of electricity price dynamics is bound by weather and consumption related features.”
Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming (2014, methodology): “See Eydeland and Wolyniec (2003) and the PJM Energy and Ancillary Services Market Operations Manual (http://www.pjm.com/~/media/ documents/manuals/m11.ashx) for more information.”