报告题目: |
Electricity Price Models with Jumps and Spikes and an Application of Valuing Power Generation Assets as Real Options |
报告人: |
Shi-Jie Deng, Associate Professor, School of Industrial and Systems Engineering, Georgia Institute of Technology |
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Dr. Shi-Jie Deng is an associate professor in School of Industrial and Systems Engineering at Georgia Institute of Technology.
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报告时间: |
2006-07-04 10:30 |
报告地点: |
清华大学西主楼3区102 |
主办单位: |
清华大学电机系电力系统研究所 |
简介: |
Energy markets, in particular, electricity markets grow rapidly as a result of the restructuring of electric power industries around the world. An accurate electricity price model is crucial for both asset valuation and risk management applications. We propose alternative jump-diffusion and regime-switching models that capture realistic aspects of electricity spot prices including mean-reversion, jumps and stochastic volatility. We compute the prices of various electricity derivatives by applying Fourier transform methods and show how these prices vary under different modeling assumptions. We illustrate an application of valuing a power generation asset as real options under the proposed jump-diffusion electricity price models. |
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