Masters Theses
Formulating hedging strategies for financial risk mitigation in competitive U.S. electricity markets
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
Subject Headings
Accounting and price fluctuationsElectric utilities -- RatesFinancial risk managementHedging (Finance) -- Prices -- Econometric models
Thesis Number
T 9362
Print OCLC #
260355429
Electronic OCLC #
226377280
Recommended Citation
Viswanathan, Karthik, "Formulating hedging strategies for financial risk mitigation in competitive U.S. electricity markets" (2008). Masters Theses. 6832.
https://scholarsmine.mst.edu/masters_theses/6832