This paper offers a low-cost alternative for hedging energy producers revenues. The hedging instrument exploits the less than perfectly positive correlation between energy output, or usage demand, and revenue. We provide a valuation formula for the instrument and demonstrate its ability to more effectively minimize a producers value-at-risk when output uncertainty prevails
A stochastic multi-stage portfolio model for a hydropower producer operating in a competitive electr...
This paper carries out a comparative analysis of managing energy risk through futures hedging, for e...
International audienceWe consider a firm, which can choose between crude oil and natural gas to run ...
As a result of storability restrictions, the price risk management of flow commodities (such as natu...
We develop a structural risk-neutral model for energy market modifying along several directions the ...
We develop a structural risk-neutral model for energy market modifying along several directions the ...
We develop a structural risk-neutral model for energy market modifying along several directions the ...
Abstract: This paper addresses quantity risk in the electricity market and explores several ways of ...
Holders of energy swing options are free to specify the amounts of energy to be delivered on short n...
Energy purchases/sales in liberalized markets are subject to price and quantity uncertainty, which s...
As an extension of the VaR-constrained hedging, we propose a closed-form solution to the problem of...
This paper introduces a scheme for hedging and managing production costs of a risky generation portf...
Energy transactions in liberalized markets are subject to price and quantity uncertainty. This paper...
Facilitated by advanced information and communication technologies (ICTs), local energy trading deve...
This dissertation concentrates on issues of risk management for corporations with a focus on energy...
A stochastic multi-stage portfolio model for a hydropower producer operating in a competitive electr...
This paper carries out a comparative analysis of managing energy risk through futures hedging, for e...
International audienceWe consider a firm, which can choose between crude oil and natural gas to run ...
As a result of storability restrictions, the price risk management of flow commodities (such as natu...
We develop a structural risk-neutral model for energy market modifying along several directions the ...
We develop a structural risk-neutral model for energy market modifying along several directions the ...
We develop a structural risk-neutral model for energy market modifying along several directions the ...
Abstract: This paper addresses quantity risk in the electricity market and explores several ways of ...
Holders of energy swing options are free to specify the amounts of energy to be delivered on short n...
Energy purchases/sales in liberalized markets are subject to price and quantity uncertainty, which s...
As an extension of the VaR-constrained hedging, we propose a closed-form solution to the problem of...
This paper introduces a scheme for hedging and managing production costs of a risky generation portf...
Energy transactions in liberalized markets are subject to price and quantity uncertainty. This paper...
Facilitated by advanced information and communication technologies (ICTs), local energy trading deve...
This dissertation concentrates on issues of risk management for corporations with a focus on energy...
A stochastic multi-stage portfolio model for a hydropower producer operating in a competitive electr...
This paper carries out a comparative analysis of managing energy risk through futures hedging, for e...
International audienceWe consider a firm, which can choose between crude oil and natural gas to run ...