Energy derivative market and derivative pricing via simulation

Lu, Z., Lu, M., Dong, Z. Y. and Ngan, H. W. (2006). Energy derivative market and derivative pricing via simulation. In: C.M. Mak and K.P. Wong, Proceedings of the 7th International Conference on Advances in Power System Control, Operation and Management. 7th International Conference on Advances in Power System Control, Operation and Management, Hong Kong, (). 30 October - 2 November, 2006. doi:10.1049/cp:20062162


Author Lu, Z.
Lu, M.
Dong, Z. Y.
Ngan, H. W.
Title of paper Energy derivative market and derivative pricing via simulation
Conference name 7th International Conference on Advances in Power System Control, Operation and Management
Conference location Hong Kong
Conference dates 30 October - 2 November, 2006
Proceedings title Proceedings of the 7th International Conference on Advances in Power System Control, Operation and Management
Place of Publication Hong Kong
Publisher The Institution of Engineering and Technology Hong Kong
Publication Year 2006
Sub-type Fully published paper
DOI 10.1049/cp:20062162
ISBN 0863412467
9780863412462
Editor C.M. Mak
K.P. Wong
Volume 523 CP
Total pages 6
Collection year 2006
Abstract/Summary The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market
Subjects E1
290901 Electrical Engineering
660301 Electricity transmission
Q-Index Code E1
Institutional Status UQ

 
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Created: Thu, 23 Aug 2007, 22:25:27 EST