On Value of Flexibility in Energy Risk Management. Concepts, Models, Solutions

Jörg Doege (), Max Fehr (), Juri Hinz (), Hans-Jakob Lüthi () and Martina Wilhelm ()
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Jörg Doege: McKinsey and Company, Inc.
Max Fehr: ETH Zurich
Juri Hinz: ETH Zurich
Hans-Jakob Lüthi: ETH Zurich
Martina Wilhelm: ETH Zurich

A chapter in Operations Research Proceedings 2006, 2007, pp 97-108 from Springer

Abstract: Abstract Since 90s power markets are being restructured worldwide and nowadays electrical energy is traded as a commodity. Therewith the question how to manage and hedge the financial risks resulting from uncertain electrical power and fuel prices is essential for market participants. There exists a rich literature on risk management in energy markets. Some noteworthy references can be downloaded from our web resources [1] and are reviewed in the cited literature. Let us first investigate the market structure and then discuss two different pricing schemes for risk management in power industries.

Keywords: Option Price; Electricity Market; Future Price; Spot Price; Convex Risk Measure (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-69995-8_15

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