Managing electricity market price risk

DOI10.1016/S0377-2217(01)00399-XzbMath1036.91513MaRDI QIDQ1869437

Iivo Vehviläinen, Jussi Keppo

Publication date: 10 April 2003

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

zbMATH Keywords

Stochastic processesSimulationRisk analysisEnergyPortfolio optimization

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Related Items (6)

Futures and Option Contracts of the Supply Chain Influenced by e-Business Market ⋮ Value-at-risk optimization using the difference of convex algorithm ⋮ A difference of convex formulation of value-at-risk constrained optimization ⋮ Hydropower with Financial Information* ⋮ Risk management of renewable power producers from co-dependencies in cash flows ⋮ Static hedging of weather and price risks in electricity markets

Cites Work

• Optimal portfolio hedging with nonlinear derivatives and transaction costs
• Monte Carlo methods for security pricing
• Stochastic differential equations. An introduction with applications.
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