Improving Financial Performance with Hedging Via Forwards for Electric Power Generation Companies

REFERENCES

• Anderson , R. and Danthine , J. P. 1981 . Cross hedging . Journal of Political Economy , 89 ( 6 ) : 1182 – 1196 .
   Web of Science ®Google Scholar
• Clewlow , L. and Strickland , C. 2000 . Energy Derivatives , London : Lacima Publications .
   Google Scholar
• Dahlgren , R. , Liu , C. C. and Lawarree , J. 2003 . Risk assessment in energy trading . IEEE Transactions on Power Systems , 18 ( 2 ) : 503 – 511 .
   Google Scholar
• Deng , S. J. and Oren , S. S. 2006 . Electricity derivatives and risk management . Energy , 31 : 940 – 953 .
   Web of Science ®Google Scholar
• Denton , M. , Palmer , A. , Masiello , R. and Skantze , P. 2003 . Managing market risk in energy . IEEE Transactions in Power Systems , 18 ( 2 ) : 494 – 502 .
   Google Scholar
• Green , R. 2008 . Carbon tax or carbon permits: the impact on generators’ risks . The Energy Journal , 29 ( 3 ) : 67 – 89 .
   Google Scholar
• Hull , J. C. 2000 . Options, Futures, & Other Derivatives , 4th ed , Upper Saddle River, NJ : Prentice-Hall .
   Google Scholar
• Ice . 2009 . “ Homepage ” . Available at http://www.theice.com (accessed 22 October 2009)
   Google Scholar
• Kroner , K. and Sultan , J. 1993 . Time-varying distributions and dynamic hedging with foreign currency futures . Journal of Financial and Quantitative Analysis , 28 ( 4 ) : 535 – 551 .
   Web of Science ®Google Scholar
• Luenberger , D. G. 1998 . Investment Science , New York : Oxford University Press .
   Google Scholar
• Midwestiso . 2009 . “ Welcome to Midwest ISO ” . Available at http://www.midwestiso.org (accessed 22 October 2009)
   Google Scholar
• Oum , Y. , Oren , S. S. and Deng , S. J. 2006 . Hedging quantity risks with standard power options in a competitive wholesale electricity market . Naval Research Logistics , 53 : 697 – 712 .
   Web of Science ®Google Scholar
• Palisade Corporation . 2000 . BestFit , Newfield, NY : Palisade Corporation .
   Google Scholar
• Palisade Corporation . 2001 . @Risk , Newfield, NY : Palisade Corporation .
   Google Scholar
• Pilipovic , D. 1998 . Energy Risk , New York : McGraw-Hill .
   Google Scholar
• PJM . 2009 . “ Homepage ” . Available at http://www.pjm.com (accessed 22 October 2009)
   Google Scholar
• Roques , F. A. , Newberg , D. M. and Nuttall , W. J. 2008 . Fuel mix diversification incentives in liberalized electricity markets: a mean minus variance portfolio theory approach . Energy Economics , 30 : 1831 – 1849 .
   Web of Science ®Google Scholar
• Sargent , T. J. 1987 . Macroeconomic Theory , Orlando, FL : Academic Press .
   Google Scholar
• Tanlapco , E. , Lawarree , J. and Liu , C. C. 2002 . Hedging with futures contracts in a deregulated electricity industry . IEEE Transactions on Power Systems , 17 ( 3 ) : 577 – 582 .
   Google Scholar
• Wang , C. H. and Min , K. J. 2006 . Electric power generation planning for interrelated projects: a real options approach . IEEE Transactions on Engineering Management , 53 ( 2 ) : 312 – 322 .
   Web of Science ®Google Scholar
• Wang , C. H. and Min , K. J. 2008 . Short-term electric power trading strategies for portfolio optimization . The Engineering Economist , 53 ( 4 ) : 265 – 379 .
   Google Scholar