Pricing and Risk Management in Competitive Electricity Markets
Electricity prices in competitive markets are extremely volatile with salient features such as mean-reversion and jumps and spikes. Modeling electricity spot prices is essential for asset and project valuation as well as risk management. I introduce the mean-reversion feature into a classical varian...
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| Format: | Others |
| Language: | en_US |
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Georgia Institute of Technology
2006
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| Online Access: | http://hdl.handle.net/1853/7581 |