Liquidity risks on power exchanges: a generalized Nash equilibrium model

The extreme volatility of electricity prices makes their financial derivatives important instruments for asset managers. Even if the volume of derivative contracts traded on Power Exchanges has been growing since the inception of the restructuring of the sector, electricity remains considerably less...

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Vydáno v:	Mathematical programming Ročník 140; číslo 2; s. 381 - 414
Hlavní autoři:	de Maere d’Aertrycke, Gauthier, Smeers, Yves
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer Berlin Heidelberg 01.09.2013 Springer Nature B.V
Témata:	Arbitrage Calculus of Variations and Optimal Control; Optimization Combinatorics Commodities Derivatives Electric power generation Electricity Energy industry Equilibrium Exchange Full Length Paper Futures Game theory Hedging Liquidity Liquids Markets Mathematical and Computational Physics Mathematical Methods in Physics Mathematical models Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Prices Risk Theoretical Valuation Volatility 90C33 Complementarity problems 91B26 Market models (auctions, bargaining, bidding, selling etc. 91B28 Finance, portfolios, investment
ISSN:	0025-5610, 1436-4646
On-line přístup:	Získat plný text
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