Sökning: "Spot market"

Visar resultat 1 - 5 av 36 avhandlingar innehållade orden Spot market.

  1. 1. Optimal regulating power market bidding strategies in hydropower systems

    Författare :Magnus Olsson; Lennart Söder; Terje Gjengedal; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electricity market; stochastic optimization; bidding strategy; time series analysis; Electrical engineering; Elektroteknik;

    Sammanfattning : Unforeseen changes in production or consumption in power systems lead to changes in grid frequency. This can cause damages to the system, or to frequency sensitive equipment at the consumers. The system operator (SO) is the responsible for balancing production and consumption in the system. LÄS MER

  3. 2. Market Models with Stochastic Volatility

    Författare :Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. LÄS MER

  4. 3. Quantity choices and market power in electricity markets

    Författare :Chloé Le Coq; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Competitive power markets from different countries exhibit a common market design, especially because of the nature of electricity (lack of storage, inelastic load, and strong seasonal effects on multiple time scales). For example, a majority of countries have created a spot market where electricity is traded hourly. LÄS MER

  5. 4. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

    Författare :Daniel Deng; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

    Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER

  7. 5. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    Författare :Rikard Green; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Sammanfattning : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. LÄS MER