Correction to: Static hedging of weather and price risks in electricity markets

Operation , Investment and Hedging in Electricity Markets

This paper develops hedging strategies for an electricity distributor in the Nordic electricity market who manages price and volume risk from fixed price agreements on stochastic electricity load. Whereas the distributor trades in the spot market at area prices, the financial contracts used for hedging are settled against the system price. Both the area price and the system price are correlated...

Hedging and Vertical Integration in Electricity Markets

This paper analyzes the interactions between competitive (wholesale) spot, retail, and forward markets and vertical integration in electricity markets. We develop an equilibrium model with producers, retailers, and traders to study and quantify the impact of forward markets and vertical integration on prices, risk premia and retail market shares. We point out that forward hedging and vertical i...

Hedging Optimization Algorithms for Deregulated Electricity Markets

Recent trends in many U.S. states are to deregulate their electric power industry and markets with the desire to provide a more consumer-friendly environment than under regulation. However, deregulation also creates uncertainty and risk. It is this risk that we wish to address and contain. In this thesis, we review recently developed stochastic models of physical and nancial aspects of deregula...

VaR constrained hedging of fixed price load-following obligations in competitive electricity markets

Load serving entities providing electricity to regulated customers have an obligation to serve load that is subject to systematic and random fluctuations at fixed prices. In some jurisdictions like New Jersey, such obligations are auctioned off annually to third parties that commit to serve a fixed percentage of the fluctuating load at a fixed energy price. In either case the entity holding the...

Single Clearing PriCe in eleCtriCity MarketS