Hedging and Vertical Integration in Electricity Markets

DOI10.1287/mnsc.1110.1357zbMath1279.91175OpenAlexW3124496469MaRDI QIDQ2870452

Gilles Chemla, Nizar Touzi, René Aïd, Arnaud Porchet

Publication date: 20 January 2014

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0cfacd81b8aec3c47ee476928deba9b4f9201041

zbMATH Keywords

marketsasset pricingfinancial institutionscorporate financeindustrieselectric-electronic

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Corporate finance (dividends, real options, etc.) (91G50) Actuarial science and mathematical finance (91G99)

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Electricity retail contracting under risk-aversion ⋮ Dynamic capacity planning using strategic slack valuation ⋮ Electricity derivatives pricing with forward-looking information ⋮ Reinsurance or securitization: the case of natural catastrophe risk ⋮ The effects and incentive of vertical mergers: an analysis from the view of OM ⋮ Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: an application to the strategic bidding problem ⋮ Analysis of futures and spot electricity markets under risk aversion ⋮ An impulse-regime switching game model of vertical competition

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