Free Access

Assets and Structured Hedges in Energy Markets: Severe Incompleteness and Methods for Dealing with It

Published Online:4 Nov 2016https://doi.org/10.1287/educ.2016.0151

Abstract

Risks in energy markets are inherently high dimensional because of large numbers of delivery locations and physical attributes, stochastic demand, and seasonality. By contrast, the number of instruments with sufficient liquidity to support hedging activities is relatively small, and it has never been able to span the set of risks sustained by market participants. This mismatch has spawned an interesting and arguably unique set of challenges related to the valuation and hedging of energy portfolios. Here, we will survey examples of such, including variable quantity swaps, generation, and structured asset hedges.

Your Access Options

Login Options

INFORMS Member Login Nonmember Login

Purchase Options
Save for later Item saved, go to cart

Tutorials in OR, TutorialsNew $20.00 Add to cart

Tutorials in OR, TutorialsNew Checkout
Other Options
Token Access
- Insert token number
Claim access using a token
Restore guest access
Applies for purchases made as a guest

Download PDF

cover image INFORMS TutORials in Operations Research

Optimization Challenges in Complex, Networked and Risky Systems

October 2016

Article Information

Metrics

Information

Published Online:November 04, 2016

Cite as

(2016) Assets and Structured Hedges in Energy Markets: Severe Incompleteness and Methods for Dealing with It. INFORMS TutORials in Operations Research null(null):282-306.

https://doi.org/10.1287/educ.2016.0151

Keywords

PDF download