Tid: 20 december 2004 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Eric Berglund.
Titel: Hedging Strategies for Cables and Capacities. (Examensarbete)
Sammanfattning: To reduce price area differences in electricity spot markets, different networks are connected with interconnectors. The owner of an interconnector transfers electricity from the area with lower price to the area with higher price and makes a profit from the price area difference.
This thesis focuses on strategies for delta hedging the value of an interconnector. Two different hedging strategies are suggested, one analytical and one numerical. To evaluate the hedging strategies, a model for simultaneously simulating spot and forward prices in two areas is developed. We show, by simulating from the spot and forward models, that the obtained deltas should be scaled down with a factor that depends on the spread between the two areas.
We look briefly at how the short term optimisation can be carried out when the forecasted prices are uncertain and when prices are moved due to transmission. We show, by a simple example, that the variance is minimised when the cable is run in the same direction as the hedge.