Delta-Hedging a Hydropower Plant Using Stochastic Programming

DOI10.1007/978-3-540-88965-6_22zbMATH Open1160.90610OpenAlexW16118060MaRDI QIDQ3628675FDOQ3628675

Authors: Stein-Erik Fleten, Stein W. Wallace 

Publication date: 20 May 2009

Published in: Optimization in the Energy Industry (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/9042

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Mathematics Subject Classification ID

Deterministic scheduling theory in operations research (90B35) Stochastic programming (90C15)

Cited In (9)

• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
• Solution sensitivity-based scenario reduction for stochastic unit commitment
• Title not available (Why is that?)
• Hydro energy management optimization in a deregulated electricity market
• Dynamic hedging for the real option management of hydropower production with exchange rate risks
• Financial risk management in the electric power industry using stochastic optimization
• An options pricing approach to ramping rate restrictions at hydro power plants
• Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
• Short-term hydropower production planning by stochastic programming

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