Energy price risk management
Rafał Weron ()
Physica A: Statistical Mechanics and its Applications, 2000, vol. 285, issue 1, 127-134
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. The possibility of extreme price movements increases the risk of trading in electricity markets. However, a number of standard financial tools cannot be readily applied to pricing and hedging electricity derivatives. In this paper we present arguments why this is the case.
Keywords: Econophysics; Electricity price; Risk management; Mean-reversion (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
Working Paper: Energy price risk management (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:285:y:2000:i:1:p:127-134
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().