Mathematical modelling and risk management in deregulated electricity markets

In this thesis we aim to explore how electricity generation companies cope with the transition to a competitive environment in a newly deregulated electricity industry. Analyses and discussions are generally performed from the perspective of a Generator/Producer, otherwise they are undertaken with respect to the market as a whole. The techniques used for tackling the complex issues are diverse and wide-ranging as ascertained from the existing literature on the subject. The global ideology focuses on combining two streams of thought: the production optimisation and equilibrium techniques of the old monopolistic, cost-saving industry and; the new dynamic profit-maximising and risk-mitigating competitive industry. Financial engineering in a new and poorly understood market for electrical power must now take place in conjunction with - yet also constrained by - the physical production and distribution of the commodity.

Grantor dc:publisher.institution

Department of Statistical Sciences

Year dc:date.issued

2005

Author dc:creator

• Davis, Stephen

Advisor dc:contributor.advisor

• Stewart, Theodor J

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/19139

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/19139