Managerial Finance: Volume 31 Issue 6

Efficiency of the New York independent system operator market for transmission congestion contracts

Afzal S. Siddiqui, Emily S. Bartholomew, Chris Marnay, Shmuel S. Oren

The physical nature of electricity generation and delivery creates special problems for the design of efficient markets, notably the need to manage delivery in real time and the…

Alternative approaches to weather derivatives pricing

Hélyette Geman, Marie‐Pascale Leonardi

The goal of the paper is to analyse the various issues attached to the valuation of weather derivatives. We focus our study on temperature‐related contracts since they are the…

Forward curve dynamics in the Nordic electricity market

Steen Koekebakker, Fridthjof Ollmar

The forward curve dynamics in the Nordic electricity market is examined. Six years of price data on futures and forward contracts traded in the Nordic electricity market are…

Valuation of investment and opportunity‐to‐ invest in power generation assets with spikes in electricity price

Shi‐Jie Deng

We address the problem of valuing electricity generation capacity and the opportunities to invest in power generation assets in the deregulated electric power industry. The spark…

Electricity load pattern hedging with static forward strategies

Erkka Näsäkkälä, Jussi Keppo

We consider the partial hedging of stochastic electricity load pattern with static forward strategies. We assume that the company under consideration maximizes the risk adjusted…