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Hourly Price Forward Curves for Electricity Markets ; Hourly Price Forward Curves für Strommärkte
This thesis is about the construction of the hourly price forward curve (HPFC) for electricity prices. The HPFC is the basis for many valuation problems energy companies face, as it determines the price they can take for the delivery of electricity on an hourly level. The HPFC combines the information from historical spot prices as well as other exogenous variables and the information of the currently observed Futures products to construct a curve giving a price for electricity with delivery at some point in the future. We start the thesis with a comparison of three different methods for the construction of the HPFC, two methods from the literature and one novel method based on a joint optimization approach of both the seasonality pattern and the fitting to the observed Futures prices. This section is meant as a review section and as the starting point of our further research. Such a comparison between different methods is not currently present in the literature. By comparing the different methods we get a greater insight in the pros and cons of the different methods. These pros and cons are hard to observe while one only consider a single model, which seems to be the standard from the literature. We do not conclude which of the methods we compare is the best, as they all have their individual strengths and weaknesses. By understanding the individual models we show how we can extract the strengths from each model combining these strengths in one model. In the second part of the thesis we study the adjustment part of the curve, or how we fit the HPFC to the observed Futures prices. We start by constructing a set of price forward curves (PFCs) for 2015 fitted to Futures prices observed in 2014, resulting in 252 individual curves. We keep the seasonality curve constant for each set of PFCs. By observing how these curves change in time, we get new insights on what are natural traits of the adjustment function. We are mainly interested in what happens when the price of a certain product is changing, and what happens ...
Hourly Price Forward Curves for Electricity Markets ; Hourly Price Forward Curves für Strommärkte
This thesis is about the construction of the hourly price forward curve (HPFC) for electricity prices. The HPFC is the basis for many valuation problems energy companies face, as it determines the price they can take for the delivery of electricity on an hourly level. The HPFC combines the information from historical spot prices as well as other exogenous variables and the information of the currently observed Futures products to construct a curve giving a price for electricity with delivery at some point in the future. We start the thesis with a comparison of three different methods for the construction of the HPFC, two methods from the literature and one novel method based on a joint optimization approach of both the seasonality pattern and the fitting to the observed Futures prices. This section is meant as a review section and as the starting point of our further research. Such a comparison between different methods is not currently present in the literature. By comparing the different methods we get a greater insight in the pros and cons of the different methods. These pros and cons are hard to observe while one only consider a single model, which seems to be the standard from the literature. We do not conclude which of the methods we compare is the best, as they all have their individual strengths and weaknesses. By understanding the individual models we show how we can extract the strengths from each model combining these strengths in one model. In the second part of the thesis we study the adjustment part of the curve, or how we fit the HPFC to the observed Futures prices. We start by constructing a set of price forward curves (PFCs) for 2015 fitted to Futures prices observed in 2014, resulting in 252 individual curves. We keep the seasonality curve constant for each set of PFCs. By observing how these curves change in time, we get new insights on what are natural traits of the adjustment function. We are mainly interested in what happens when the price of a certain product is changing, and what happens ...
Hourly Price Forward Curves for Electricity Markets ; Hourly Price Forward Curves für Strommärkte
Saethero, Audun Sviland (author) / Kiesel, Rüdiger
2018-01-15
Theses
Electronic Resource
English
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