Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging

By A. Eydeland, Krzysztof Wolyniec. 2002

415 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7adf008fcd8339b5e78d3b62fe42c21d0720e864

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Citations in the corpus

Valuation of energy storage: an optimal switching approach (2010, background): “gas prices documented by Eydeland and Wolyniec (2003), while keeping logGt conditionally Gaussian.”
Overview of energy storage systems in distribution networks: Placement, sizing, operation, and power quality (2018, background): “Retailers need to make effective decisions about sources and the amount of electricity they procure, as these electricity sources have different variable characteristics over time [269,270].”
Electricity price forecasting using sale and purchase curves: The X-Model (2015, background): “…real auction data (e.g. Boogert and Dupont (2008)), they assume, that the demand is inelastic and therefore focus only on the bid stack (e.g. Eydeland and Wolyniec (2003), Howison and Coulon (2009), Carmona et al. (2013)) 2 , they use simpliﬁca-tions or modulations which skip the important…”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, background): “An extensive discussion of VaR use in traditional financial markets can be found in Dowd (1998), Duffie and Pan (1997), Jorion (2000), Holton (2003) and Manganelli and Engle (2004), whilst energy VaR is detailed in Clewlow and Strickland (2000) and Eydeland and Wolyniec (2003).”
Pricing and Hedging Spread Options (2003, background): “Another interesting feature of spread options is that they became a risk mitigation tool of crucial importance in the energy markets.”
Pricing Asset Scheduling Flexibility using Optimal Switching (2008, background): “A good overview and summary of recent results is given in Guo and Pham (2005). Another related problem first appearing in Jeanblanc and Shiryaev (1995) is optimal payout of dividends by a corporation.”
Hedging quantity risks with standard power options in a competitive wholesale electricity market (2006, background): “In electricity markets, forward options are not widely traded [7].”
Efficient modeling and forecasting of electricity spot prices (2014, unknown): “(E.g. Weron (2006) and Eydeland and Wolyniec (2003).)”