Hedging Strategy and Electricity Contract Engineering - IFOR
Hedging Strategy and Electricity Contract Engineering - IFOR
Hedging Strategy and Electricity Contract Engineering - IFOR
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List of Figures<br />
2.1 Illustration of trading in wholesale competition. . . . . . . . . 9<br />
2.2 Schematic supply stack. . . . . . . . . . . . . . . . . . . . . . 13<br />
2.3 Sample load duration curve. . . . . . . . . . . . . . . . . . . 15<br />
2.4 Monthly dem<strong>and</strong>. . . . . . . . . . . . . . . . . . . . . . . . . 20<br />
2.5 Hourly dem<strong>and</strong>. . . . . . . . . . . . . . . . . . . . . . . . . . 20<br />
2.6 Load curve of spot <strong>and</strong> futures contract. . . . . . . . . . . . . 24<br />
2.7 Payoffs from future contracts. . . . . . . . . . . . . . . . . . 25<br />
2.8 Payoff structure of European options. . . . . . . . . . . . . . 25<br />
2.9 Payoff structure of Asian options. . . . . . . . . . . . . . . . 26<br />
2.10 Effect of caps <strong>and</strong> floors. . . . . . . . . . . . . . . . . . . . . 29<br />
2.11 Determination of the system price. . . . . . . . . . . . . . . . 33<br />
2.12 Turnover at Nord Pool. . . . . . . . . . . . . . . . . . . . . . 34<br />
2.13 Rolling volatility. . . . . . . . . . . . . . . . . . . . . . . . . 36<br />
2.14 Spot prices. . . . . . . . . . . . . . . . . . . . . . . . . . . . 37<br />
2.15 Average spot prices per hour. . . . . . . . . . . . . . . . . . . 38<br />
2.16 Schematic supply stack with 2 potential dem<strong>and</strong> curves. . . . . 40<br />
2.17 Spot prices in peak hours <strong>and</strong> off-peak hours. . . . . . . . . . 41
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