Risk management in power markets: the hedging value of production flexibility

DOI10.1016/j.ejor.2009.01.067zbMath1176.90282OpenAlexW1992947886MaRDI QIDQ1042265

Juri Hinz, Max Fehr, Hans-Jakob Lüthi, Martina Wilhelm, Jorg Doege

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.067

zbMATH Keywords

futures marketsoperational flexibilityemission tradingdispatch management of power plantselectricity riskpower derivatives

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Related Items (3)

Heterogeneous risk preferences in community-based electricity markets ⋮ A review of the operations literature on real options in energy ⋮ Risk management of renewable power producers from co-dependencies in cash flows

Cites Work

• Risk management of power portfolios and valuation of flexibility
• Valuing virtual production capacities on flow commodities
• Convex risk measures for portfolio optimization and concepts of flexibility
• Storage Costs in Commodity Option Pricing
• Optimal Stochastic Control and Carbon Price Formation
• Market Design for Emission Trading Schemes
• A spot market model for pricing derivatives in electricity markets
• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

This page was built for publication: Risk management in power markets: the hedging value of production flexibility