Abstract
dc:description.abstractWhile energy companies commit to provide the required amount of electricity to meet the power consumers’ demand, several factors can affect the demand for electricity and consequently, affect the electricity pricing. Example of these factors are weather conditions, cost of power generation, and government tax policies. Therefore, energy companies must deal with the problem of hedging load and price risk. Power prices typically exhibit some characteristics that are crucial to be considered in modelling power prices. In Alberta, periodicity, mean-reversion, and sudden power price spikes are the most common characteristics of power prices that can be explained by changes in supply and demand for electricity. The other significant feature of power prices in Alberta is the strong link between power prices and fuel prices. Therefore, it is important to obtain a power price model which shows the stochastic dynamics of fuel prices and energy demand (i.e., load) in Alberta. For this purpose, we propose a power price model considering the strong link between power price and load which facilitates the energy companies’ hedging purposes. We use the structural model for power price modelling in which the power spot price is assumed to be a parametric function of the influential factors, such as, fuel prices and load, and the dynamic features of power prices are specified by the stochastic processes of these influential factors. Incorporating these factors in the power price model allows to capture the significant features of power prices. This model also provides the opportunity of finding a closed form formula for power forward prices.
Degree
thesis:*- Name thesis:degree_name
- Master of Science (MSc)
- Discipline thesis:degree_discipline
- Mathematics & Statistics
- Grantor dc:publisher.institution
- Science
- Year dc:date.issued
- 2022
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Ansari Esfeh, Zahra
- Advisor dc:contributor.advisor
-
- Ware, Antony Frank
- Committee members dc:contributor.committeemember
-
- Swishchuk, Anatoliy
- Sezer, Ayse Deniz
Subjects
dc:subject × 5Rights
dc:rights- Statement dc:rights
-
- University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- OAI identifier oai:identifier
- oai:ucalgary.scholaris.ca:1880/114652