Titlebook: Valuation, Hedging and Speculation in Competitive Electricity Markets; A Fundamental Approa Petter L. Skantze,Marija D. Ilic Book 2001 Kluw

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Overview of Valuation and Hedging Theory,be summed up as commitment problems, since they involve some form of physical or financial commitment from the firm in question. They include investment in physical assets, agreements to deliver electricity to customers over a specified period, bilateral financial agreements, and numerous exchange t

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Overview of the Competitive Electricity Industry,s. In this section five categories of market participants are introduced, covering the most crucial functions related to wholesale electricity markets: generation companies, load serving entities, power marketers, exchanges and market makers, and independent system operators. These categories are no

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Arbitrage Pricing and the Temporal Relationship of Electricity Prices,ssible to form a cash and carry type arbitrage portfolio. As a result we cannot impose any arbitrage free bounds on the relative levels of spot and forward prices. It does not end there however. There is no limit on how far the prices of two forward contracts with different delivery months can diver

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Conclusion,y markets. The lack of economic storage of electricity leads a decoupling of prices over time, creating a situation where the dimension of the uncertainty grows linearly with the time horizon of interest. Similarly, each node in the network represents a new special dimension for the market participa

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