The application of structural electricity models for dynamic hedging

2017 ◽  
pp. 49-77
Author(s):  
Cord Harms ◽  
Rüdiger Kiesel
Keyword(s):  
Dynamic Hedging

Measuring the error of dynamic hedging: a Laplace transform approach

2009 ◽  
Vol 13 (2) ◽  
pp. 47-72 ◽  
Author(s):  
Flavio Angelini ◽  
Stefano Herzel
Keyword(s):  
Laplace Transform ◽  
Dynamic Hedging

Effect of dynamically varying zone-based hedging policies on the operational performance of surface water reservoirs during climate change

2018 ◽  
Vol 488 (1) ◽  
pp. 277-289 ◽  
Author(s):  
Adebayo J. Adeloye ◽  
Bankaru-Swamy Soundharajan
Keyword(s):  
Climate Change ◽  
Surface Water ◽  
Operational Performance ◽  
Dynamic Hedging ◽  
Water Reservoirs ◽  
Complex Dynamic ◽  
Water Shortages ◽  
Operational Conditions ◽  
Static Hedging ◽  
The Impact

AbstractHedging is universally recognized as a useful operational practice in surface water reservoirs to temporally redistribute water supplies and thereby avoid large, crippling water shortages. When based on the zones of available water in storage, hedging has traditionally involved a static rationing (i.e. supply to demand) ratio. However, given the usual seasonality of reservoir inflows, it is also possible that hedging could be dynamic with seasonally varying rationing ratios. This study examined the effect of static and dynamic hedging policies on the performance of the Pong reservoir in India during a period of climate change. The results show that the reservoir vulnerability was unacceptably high (≥60%) without hedging and that this vulnerability further deteriorated as the catchment became drier due to projected climate change. The time- and volume-based reliabilities were acceptable. The introduction of static hedging drastically reduced the vulnerability to <25%, although the hedging reduction in the water supplied during normal operational conditions was only 17%. Further analyses with dynamic hedging provided only modest improvements in vulnerability. The significance of this study is its demonstration of the effectiveness of hedging in offsetting the impact of water shortages caused by climate change and the fact that static hedging can match more complex dynamic hedging policies.

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

2009 ◽  
Author(s):  
YiHao Lai ◽  
Cathy W. S. Chen ◽  
Richard H. Gerlach
Keyword(s):  
Garch Models ◽  
Dynamic Hedging ◽  
Optimal Dynamic
Sign in / Sign up

Export Citation Format

Share Document