Mathematical Modelling of Contemporary Electricity Markets
Title | Mathematical Modelling of Contemporary Electricity Markets PDF eBook |
Author | Athanasios Dagoumas |
Publisher | Academic Press |
Pages | 444 |
Release | 2021-01-30 |
Genre | Business & Economics |
ISBN | 0128218398 |
Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets
Stochastic Modelling of Electricity and Related Markets
Title | Stochastic Modelling of Electricity and Related Markets PDF eBook |
Author | Fred Espen Benth |
Publisher | World Scientific |
Pages | 352 |
Release | 2008 |
Genre | Technology & Engineering |
ISBN | 9812812318 |
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.
Mathematical Modelling and Risk Management in Deregulated Electricity Markets
Title | Mathematical Modelling and Risk Management in Deregulated Electricity Markets PDF eBook |
Author | Stephen Davis |
Publisher | |
Pages | 204 |
Release | 2005 |
Genre | |
ISBN |
Energy Markets and Responsive Grids
Title | Energy Markets and Responsive Grids PDF eBook |
Author | Sean Meyn |
Publisher | Springer |
Pages | 516 |
Release | 2018-06-09 |
Genre | Science |
ISBN | 1493978225 |
This volume consists of selected essays by participants of the workshop Control at Large Scales: Energy Markets and Responsive Grids held at the Institute for Mathematics and its Applications, Minneapolis, Minnesota, U.S.A. from May 9-13, 2016. The workshop brought together a diverse group of experts to discuss current and future challenges in energy markets and controls, along with potential solutions. The volume includes chapters on significant challenges in the design of markets and incentives, integration of renewable energy and energy storage, risk management and resilience, and distributed and multi-scale optimization and control. Contributors include leading experts from academia and industry in power systems and markets as well as control science and engineering. This volume will be of use to experts and newcomers interested in all aspects of the challenges facing the creation of a more sustainable electricity infrastructure, in areas such as distributed and stochastic optimization and control, stability theory, economics, policy, and financial mathematics, as well as in all aspects of power system operation.
Electricity Derivatives
Title | Electricity Derivatives PDF eBook |
Author | René Aïd |
Publisher | Springer |
Pages | 107 |
Release | 2015-01-14 |
Genre | Mathematics |
ISBN | 3319083953 |
Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent derivatives in electricity markets, namely power plants and swings. The mathematical content of the book has intentionally been made light in order to concentrate on the main subject matter, avoiding fastidious computations. Wherever possible, the models are illustrated by diagrams. The book should allow prospective researchers in the field of electricity derivatives to focus on the actual difficulties associated with the subject. It should also offer a brief but exhaustive overview of the latest techniques used by financial engineers in energy utilities and energy trading desks.
Optimization Models in Electricity Markets
Title | Optimization Models in Electricity Markets PDF eBook |
Author | Anthony Papavasiliou |
Publisher | Cambridge University Press |
Pages | 389 |
Release | 2024-05-31 |
Genre | Science |
ISBN | 1009416618 |
Get up-to-speed with the fundamentals of how electricity markets are structured and operated with this comprehensive textbook, presenting coverage of key topics in electricity market design, including power system and power market operations, transmission, unit commitment, demand response, and risk management. It includes over 140 practical examples, inspired by real-industry applications, connecting key theoretical concepts to practical scenarios in electricity market design, and features over 100 coding-based examples and exercises, with selected solutions for readers. It further demonstrates how mathematical programming models are implemented in an industry setting. Requiring no experience in power systems or energy economics, this is the ideal introduction to electricity markets for senior undergraduate and graduate students in electrical engineering, economics, and operations research, and a robust introduction to the field for professionals in utilities, energy policy, and energy regulation. Accompanied online by datasets, AMPL code, supporting videos, and full solutions and lecture slides for instructors.
Mathematical Modelling of Energy Systems
Title | Mathematical Modelling of Energy Systems PDF eBook |
Author | İbrahim Kavrakoğlu |
Publisher | Springer |
Pages | 500 |
Release | 1981-03-31 |
Genre | Mathematics |
ISBN |
Proceedings of the NATO Advanced Study Institute, Istanbul, Turkey, June 1979