[หนังสือ][B] Energy and power risk management: New developments in modeling, pricing, and hedging

A Eydeland, K Wolyniec - 2002 - books.google.com
Praise for Energy and Power Risk Management" Energy and Power Risk Management
identifies and addresses the key issues in the development of the turbulent energy industry …

Portfolio optimization in electricity markets

M Liu, FF Wu - Electric Power systems research, 2007 - Elsevier
In a competitive electricity market, Generation companies (Gencos) face price risk and
delivery risk that affect their profitability. Risk management is an important and essential part …

A survey on risk management in electricity markets

M Liu, FF Wu, Y Ni - 2006 IEEE Power Engineering Society …, 2006 - ieeexplore.ieee.org
In the electricity market, electricity prices are substantially more volatile than any other
commodity price. Confronting with this extreme price volatility, more and more market …

[PDF][PDF] Estimating the volatility of spot prices in restructured electricity markets and the implications for option values

R Ethier, T Mount - 1998 - Citeseer
The contingent claims valuation of physical assets and financial derivatives depends
critically on the specification and estimation of the stochastic process that describes the price …

A framework using two-factor price lattices for generation asset valuation

CL Tseng, KY Lin - Operations Research, 2007 - pubsonline.informs.org
In this paper, we use a real-options framework to value a power plant. The real option to
commit or decommit a generating unit may be exercised on an hourly basis to maximize …

Valuing and optimizing scheduling of generation assets

RD Masiello, M Manoliu, P Skantze - US Patent 7,474,995, 2009 - Google Patents
2005-09-09 Assigned to JPMORGAN CHASE BANK, NA reassignment JPMORGAN CHASE
BANK, NA SECURITY INTEREST (SEE DOCUMENT FOR DETAILS). Assignors: SUNGARD …

Linking optimal design decisions to the theory of the firm: The case of resource allocation

P Georgiopoulos, M Jonsson, PY Papalambros - 2005 - asmedigitalcollection.asme.org
Resource allocation is a core business milestone in a firm's product development process:
Maximize the final value derived from allocating resources into an appropriate product mix …

Optimal design decisions in product portfolio valuation

P Georgiopoulos, R Fellini… - International …, 2002 - asmedigitalcollection.asme.org
Product portfolio valuation is a core business milestone in a firm's product development
process: Determine what will be the final value to the firm derived from allocating assets into …

Optimal self-commitment under uncertain energy and reserve prices

R Rajaraman, L Kirsch, FL Alvarado, C Clark - The next generation of …, 2002 - Springer
This paper describes and solves the problem of finding the optimal self-commitment policy in
the presence of exogenous price uncertainty, inter-product substitution options (energy …

Valuing and optimizing scheduling of generation assets for a group of facilities

RD Masiello, M Manoliu, P Skantze - US Patent 7,389,209, 2008 - Google Patents
2005-09-09 Assigned to JPMORGAN CHASE BANK, NA reassignment JPMORGAN CHASE
BANK, NA SECURITY INTEREST (SEE DOCUMENT FOR DETAILS). Assignors: SUNGARD …