Home > Research > Publications & Outputs > Delta-hedging a hydropower plant using stochast...

Research

Links

Text available via DOI:

View graph of relations

Delta-hedging a hydropower plant using stochastic programming

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Published

Standard

Delta-hedging a hydropower plant using stochastic programming. / Fleten, Stein-Erik; Wallace, Stein W.
Optimization in the energy industry. ed. / Josef Kallrath; Panos M. Pardalos; Steffen Rebennack; Max Scheidt. Berlin: Springer, 2009. p. 507-524.

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Harvard

Fleten, S-E & Wallace, SW 2009, Delta-hedging a hydropower plant using stochastic programming. in J Kallrath, PM Pardalos, S Rebennack & M Scheidt (eds), Optimization in the energy industry. Springer, Berlin, pp. 507-524. https://doi.org/10.1007/978-3-540-88965-6_22

APA

Fleten, S-E., & Wallace, S. W. (2009). Delta-hedging a hydropower plant using stochastic programming. In J. Kallrath, P. M. Pardalos, S. Rebennack, & M. Scheidt (Eds.), Optimization in the energy industry (pp. 507-524). Springer. https://doi.org/10.1007/978-3-540-88965-6_22

Vancouver

Fleten S-E, Wallace SW. Delta-hedging a hydropower plant using stochastic programming. In Kallrath J, Pardalos PM, Rebennack S, Scheidt M, editors, Optimization in the energy industry. Berlin: Springer. 2009. p. 507-524 doi: 10.1007/978-3-540-88965-6_22

Author

Fleten, Stein-Erik ; Wallace, Stein W. / Delta-hedging a hydropower plant using stochastic programming. Optimization in the energy industry. editor / Josef Kallrath ; Panos M. Pardalos ; Steffen Rebennack ; Max Scheidt. Berlin : Springer, 2009. pp. 507-524

Bibtex

@inbook{a893e5bb49824c1a9f0c502d9b4322fa,
title = "Delta-hedging a hydropower plant using stochastic programming",
abstract = "An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inflow and electricity prices. Furthermore, the producers want to hedge the risk in the operating profit. This article demonstrates how stochastic programming can be used to solve a multireser-voir hydro scheduling case for a price-taking producer, and how such a model can be employed in subsequent delta-hedging of the electricity portfolio.",
author = "Stein-Erik Fleten and Wallace, {Stein W}",
year = "2009",
doi = "10.1007/978-3-540-88965-6_22",
language = "English",
isbn = "9783540889649",
pages = "507--524",
editor = "Kallrath, {Josef } and Pardalos, {Panos M. } and Rebennack, {Steffen } and Max Scheidt",
booktitle = "Optimization in the energy industry",
publisher = "Springer",

}

RIS

TY - CHAP

T1 - Delta-hedging a hydropower plant using stochastic programming

AU - Fleten, Stein-Erik

AU - Wallace, Stein W

PY - 2009

Y1 - 2009

N2 - An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inflow and electricity prices. Furthermore, the producers want to hedge the risk in the operating profit. This article demonstrates how stochastic programming can be used to solve a multireser-voir hydro scheduling case for a price-taking producer, and how such a model can be employed in subsequent delta-hedging of the electricity portfolio.

AB - An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inflow and electricity prices. Furthermore, the producers want to hedge the risk in the operating profit. This article demonstrates how stochastic programming can be used to solve a multireser-voir hydro scheduling case for a price-taking producer, and how such a model can be employed in subsequent delta-hedging of the electricity portfolio.

U2 - 10.1007/978-3-540-88965-6_22

DO - 10.1007/978-3-540-88965-6_22

M3 - Chapter

SN - 9783540889649

SP - 507

EP - 524

BT - Optimization in the energy industry

A2 - Kallrath, Josef

A2 - Pardalos, Panos M.

A2 - Rebennack, Steffen

A2 - Scheidt, Max

PB - Springer

CY - Berlin

ER -