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| Title: | Formulating hedging strategies for financial risk mitigation in competitive U.S. electricity markets | |
| Author (s): | Viswanathan, Karthik, 1980- | |
| Advisor(s): | Enke, David L. | |
| Department/Lab Affiliations: | Intelligent Systems Center | |
| Issue Date: | 2008 | |
| Publisher: | University of Missouri-Rolla [sic] [Missouri University of Science and Technology] | |
| Citation: | Viswanathan, Karthik. "Formulating Hedging Strategies for Financial Risk Mitigation in Competitive U.S. Electricity Markets." Master's Thesis, Systems Engineering, Missouri University of Science and Technology, 2008. | |
| 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, p. 10-11. | |
| Type: | Thesis/Dissertation text | |
| Copyright Notice: | These materials are protected under copyright by the original author. | |
| Link to this page: | ||
| URL: | ||
| Full Text: |
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| title | Formulating hedging strategies for financial risk mitigation in competitive U.S. electricity markets | |
| contributor.advisor | Enke, David L. | |
| contributor.author | Viswanathan, Karthik, 1980- | |
| contributor.deptlab | Intelligent Systems Center | |
| contributor.deptlab | Laboratory for Investment and Financial Engineering | |
| subject.LCSH | Accounting and price fluctuations. | |
| subject.LCSH | Electric utilities -- Rates. | |
| subject.LCSH | Financial risk management. | |
| subject.LCSH | Hedging (Finance) -- Prices -- Econometric models. | |
| date.issued | 2008 | |
| publisher | University of Missouri-Rolla [sic] [Missouri University of Science and Technology] | |
| identifier.URI | ||
| identifier.citation | Viswanathan, Karthik. "Formulating Hedging Strategies for Financial Risk Mitigation in Competitive U.S. Electricity Markets." Master's Thesis, Systems Engineering, Missouri University of Science and Technology, 2008. | |
| identifier.oclc | 226377280 | |
| description | Degree granted by Missouri University of Science and Technology, formerly known as the University of Missouri-Rolla. | |
| description | Includes bibliographical references (p. 42-44). | |
| description | Mode of access: World Wide Web. | |
| description | System requirements: Adobe Acrobat Reader; Internet browser. | |
| description | The entire thesis text is included in file. | |
| description | Thesis (M.S.)--Missouri University of Science and Technology, 2008. | |
| description | Title from title screen of thesis/dissertation PDF file (viewed March 31, 2008) | |
| description | Vita. | |
| description.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, p. 10-11. | |
| description. statementOfResponsibility | by Karthik Viswanathan. | |
| type | Thesis/Dissertation | |
| type.DCMIType | text | |
| rights | These materials are protected under copyright by the original author. | |
| language.ISO639-2 | eng | |
| format.extent | viii, 45 p. : ill., digital, PDF file. | |
| date.accessioned | 2008-01-15T20:41:39Z | |
| date.available | 2008-04-29T18:50:58Z | |
| identifier.persist.URI | ||
| Full Text |
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