Essays about: "Electricity derivatives"

Showing result 1 - 5 of 9 essays containing the words Electricity derivatives.

  1. 1. Modelling Seasonalities of HPFCs Using a Parametric Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Reza Rastegar; Lucas Svantesson; [2019]
    Keywords : Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

    Abstract : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). READ MORE

  3. 2. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivatives

    University essay from KTH/Matematisk statistik

    Author : Johan Viktorsson; [2017]
    Keywords : ;

    Abstract : In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. READ MORE

  4. 3. Modellering av ett fossilfritt energisystem i Uppsala till år 2050

    University essay from SLU/Dept. of Energy and Technology

    Author : Björn Isaksson; [2016]
    Keywords : drivmedel; metanol; DME; vätgas; förgasning; förnybar;

    Abstract : Fossila bränslen kommer förr eller senare att ta slut och bidrar dessutom till att påverka klimatet med växthusgaser. En av vår tids stora utmaningar är därför att begränsa användningen av fossila bränslen så mycket som möjligt. READ MORE

  5. 4. Optimization of hydro power on the Nordic electricity exchange using financial derivatives

    University essay from KTH/Matematisk statistik

    Author : Viktor Enoksson; Fredrik Svedberg; [2015]
    Keywords : Optimization; hydro power; linear programming; stochastic programming; scenario construction; stochastic inflow modeling; financial derivatives on electricity.;

    Abstract : Since the deregulation of the Nordic electricity market in 1996, electricity has become one of the most traded commodities in the Nordic region. The electricity price is characterized by large fluctuations as the supply and demand of electricity are seasonally dependent. READ MORE

  6. 5. The Efficient Market Hypothesis at Nord Pool: A study of the forwards market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Melissa Proietti; [2012]
    Keywords : Electricity derivatives; Nord Pool; random walk; variance ratio test; runs test; BDS test; hydro power.; Business and Economics;

    Abstract : In recent times the increasing economic importance of electricity raised new interest in the study of its market. In particular the existence of an efficient derivative market where players can mitigate their risk exposure has been considered fundamental. READ MORE