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Energy Hedging Using Goal Programming

100%
Kudyba D.
Multiple Criteria Decision Making
|
2014
|
vol. 9
48-57
EN
Energy volume hedging is nowadays very important due to the current structure of the Polish energy market. Energy buyers plan their future demand, but its structure is very heterogeneous. In most cases, energy sellers can hedge energy by purchasing highly homogeneous futures contracts; thus some part of planned demand can't be effectively hedged. Unhedged open position should be minimized because of unknown cost at time t. The aim of this paper is to propose a model of hedging electricity demand volume which minimizes open position. The problem has been solved using goal programming.
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Zmiana wartości kapitału ryzyka pod wpływem zastosowania dynamicznego zabezpieczenia opcji zakupu energii elektrycznej

63%
Krysta B., Kudyba D.
Studia Ekonomiczne
|
2013
|
vol. 155
495-508
EN
Progressing liberalization and electricity market development in Poland results increase of competitiveness. The new products being offered to customers are increasingly more complex and sophisticated. Accordingly, it requires a challenge for both portfolio and risk management skills. Considering market risk peculiarity within the frame of energy market as well as lack of energy derivatives market - including options contracts, position's hedging becomes very difficult. Hedging efficiency determines risk exposure and furthermore risk capital demand. Dynamic hedging approach described in this paper has been focused especially on short position in call option, written as a compliment - additional value for customer. The main purpose of presented approach is to provide stable enough financial performance and adequate risk's yield premium.
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