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Evaluation of hydropower upgrade projects - a real options approach

Elverhøi, Morten; Fleten, Stein-Erik; Fuss, Sabine; … - Volkswirtschaftliche Fakultät, … - 2010

aspects to take into consideration. These are the capacity chosen for the production facilities and the timing of the … investment. This paper presents an investment decision support framework for hydropower producers with production facilities due … for restoration. The producer can choose between refurbishing existing power plants and investing in a new production …

Persistent link: https://www.econbiz.de/10008494200

Hedging and vertical integration in electricity markets

Chemla, Gilles; Porchet, Arnaud; Aïd, René; Touzi, Nizar - Université Paris-Dauphine (Paris IX) - 2011

forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both … utility because of the asymmetry between production and retail segments. Vertical integration restores the symmetry between … forward hedging when retailers are highly risk averse. We illustrate our analysis with data from the French electricity market …

Persistent link: https://www.econbiz.de/10011072430

Forward Hedging and Vertical Integration in Electricity Markets

Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar; Aïd, René - Université Paris-Dauphine (Paris IX) - 2009

and forward hedging are two separate levers for demand and spot price risk diversification. We show that they are …

Persistent link: https://www.econbiz.de/10011073085

Hedging and Vertical Integration in Electricity Markets

Aïd, René; Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar - C.E.P.R. Discussion Papers - 2011

forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both …' utility due to the asymmetry between production and retail segments. Vertical integration restores the symmetry between … forward hedging when retailers are highly risk averse. We illustrate our analysis with data from the French electricity market. …

Persistent link: https://www.econbiz.de/10008925710

Linepack storage valuation under price uncertainty

Arvesen, Øystein; Medbø, Vegard; Fleten, Stein-Erik; … - Volkswirtschaftliche Fakultät, … - 2012

Natural gas flows in pipelines as a consequence of the pressure difference at the inlet and outlet. Adjusting these pressures makes it possible to inject natural gas at one rate and withdraw at a different rate, hence using the pipeline as storage as well as transport. We study the value of...

Persistent link: https://www.econbiz.de/10011111228

Specifying An Efficient Renewable Energy Feed-in Tariff

Farrell, Niall; Devine, Mel; Lee, William; Gleeson, James; … - Volkswirtschaftliche Fakultät, … - 2013

This paper derives efficient pricing formulae for renewable energy Feed-in Tariff (FiT) designs that incorporate exposure to uncertain market prices by using option pricing theory. Such FiT designs are presented as a means to delineate market price risk amongst investors and policymakers when...

Persistent link: https://www.econbiz.de/10011261131

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014

, convenience yields have predictive power over future crude oil inventories, production, global real economic activity and the …

Persistent link: https://www.econbiz.de/10010960394

Electricity Spot and Derivatives Pricing when Markets are Interconnected

Füss, Roland; Mahringer, Steffen; Prokopczuk, Marcel - School of Finance, Universität St. Gallen - 2013

, do have important implications for pricing and hedging in these markets. Since traditional reduced-form models fail to …

Persistent link: https://www.econbiz.de/10010743416

Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis

Hayes, Dermot; Du, Xiaodong; Yu, Cindy L. - Center for Agricultural and Rural Development (CARD), … - 2009

be largely explained by tightened interdependence between these markets induced by ethanol production. …

Persistent link: https://www.econbiz.de/10004999996

Investment timing and optimal capacity choice for small hydropower projects

Bøckman, Thor; Fleten, Stein-Erik; Juliussen, Erik; … - Volkswirtschaftliche Fakultät, … - 2006

production in a plant, based on all the important choices for such a plant. The main results of the spreadsheet are simulated … production size and the investment costs, which are in turn used for finding the value of the real option and the price limit …

Persistent link: https://www.econbiz.de/10005620027