Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming

DOI10.1007/978-1-4419-9586-5_8zbMath1405.91484OpenAlexW9088076MaRDI QIDQ4613819

Marida Bertocchi, Rosella Giacometti, Giovanni Barone-Adesi, Maria Teresa Vespucci

Publication date: 25 January 2019

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-9586-5_8

zbMATH Keywords

stochastic programmingregime switching modelelectricity forward contractshydro plants

Mathematics Subject Classification ID

Stochastic programming (90C15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming, Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches

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