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RENERGI-Fremtidens rene energisystemer

Financial Engineering Analysis of Investment and Operations in Electricity Markets

Tildelt: kr 4,0 mill.

By financial engineering we mean employing financial economics and quantitative analysis approaches, to make pricing, investment, hedging and portfolio management decisions. The context of problems considered are those that are relevant for market-relat ed activities in electricity companies, with an emphasis on hydroelectric generating companies. These include analysis and modelling of electricity-related stochastic processes such as prices and resource availability, the planning of use and generation of electricity, and evaluation of the plans via simulation. They further include hedging the operational cash flows, modelling and forecasting electricity prices and associated factors, and research regarding valuation and optimal exercise of real options inherent in investment opportunities facing electricity companies. The research will be centered around the following thematic research areas: 1. Econometric analysis of electricity-related data, with a focus on prices. Subthemes include the developme nt of a forward curve model with a realistic spot price component, analysing weather influences on electricity prices, analysis of area price differences at Nord Pool, and of equilibrium electricity prices in a hydro-dominated market. 2. Real options anal ysis of electricity operations and investment. Subthemes include studying the use of derivative pricing information in hydroelectric scheduling and hedging, timing and capacity choice in hydropower refurbishments and upgrading, investing in commodity stor age and optimal wind mill replacement under uncertainty. There will be two PhD students, one for each thematic research area.

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RENERGI-Fremtidens rene energisystemer