Masters Theses

Abstract

"The challenges currently facing participants in the competitive electricity markets are unique and staggering: unprecedented price volatility, fluctuations in the demand, a lack of historical market data on which to test the new modeling approaches, increased competition and continuously changing regulatory structure...Electricity plant owners and purchasers of electricity may benefit from various techniques to manage price volatility. For electricity, however, no futures market is actively traded. The electricity forward market in NYMEX is in its nascent stage and is low in liquidity. Producers and purchasers of electricity may find cross-hedging electricity with natural gas futures contracts to be effective in reducing exposure to price volatility. The objective of this study is to estimate the cross-hedge relationship and strategies between spot electricity price and the NYMEX natural gas futures market for the cross-hedging horizon of one month"--Introduction, page 10-11.

Advisor(s)

Enke, David Lee, 1965-

Committee Member(s)

Chowdhury, Badrul H.
Dagli, Cihan H., 1949-

Department(s)

Engineering Management and Systems Engineering

Degree Name

M.S. in Systems Engineering

Publisher

Missouri University of Science and Technology

Publication Date

Spring 2008

Pagination

viii, 45 pages

Note about bibliography

Includes bibliographical references (pages 146-149).

Rights

© 2008 Karthik Viswanathan, All rights reserved.

Document Type

Thesis - Open Access

File Type

text

Language

English

Library of Congress Subject Headings

Accounting and price fluctuations
Electric utilities -- Rates
Financial risk management
Hedging (Finance) -- Prices -- Econometric models

Thesis Number

T 9362

Print OCLC #

260355429

Electronic OCLC #

226377280

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