Datenbestand vom 20. Mai 2019
Tel: 089 / 66060798
Mo - Fr, 9 - 12 Uhr
Fax: 089 / 66060799
aktualisiert am 20. Mai 2019
978-3-8439-1295-2, Reihe Mathematik
Structural Electricity Price Models and Volatile Renewable Infeed
197 Seiten, Dissertation Technische Universität Kaiserslautern (2013), Hardcover, A5
Motivated by the change in the German energy market, this thesis deals with structural electricity price models for markets with infeed from volatile renewable sources.
The German electricity market with a high share of wind and solar power is described in detail. The regulatory situation and the properties of infeed from renewables are explained. Different approaches for the modelling of electricity prices are introduced. It is concluded that structural price models are well-suited to account for the risk of volatile infeed and a model adaption, namely a model for residual demand, is proposed.
Infeed from wind and solar is modelled explicitly and withdrawn from total demand. The methodology separates the impact of weather and capacity. The weather-dependant efficiency is modelled as a stochastic process. Installed capacity is a deterministic function of time. The model is applied to the German market within a simple structural model. The model reproduces the structure and magnitude of market prices. It is found that renewable infeed increases the volatility in prices only in times of low demand. The merit-order effect of increased wind and solar capacity is calculated. The results show that under current capacity levels in the German market wind has a stronger overall effect.
The model for residual demand is also applied within a more detailed structural model. The price model is adapted in order to describe the German market in a reasonable way. In particular a new model for unexpected outages is proposed and its properties derived. The model is calibrated and analysed on the German market. It is suited for the pricing of multi-commodity derivatives and for an analysis of economic questions.
For the pricing of pure electricity derivatives, a framework with a consistent modelling of electricity spot and forward prices is introduced. Trading and delivery time in the electricity price process are separated. The electricity forward price is defined as a conditional expectation. Within the framework a price model is developed, which relies on the model for residual demand and a two-factor forward dynamic. It is capable of replicating the electricity forward price term-structure and partially the volatility term-structure of European options on electricity forwards. Calibration procedures are described in detail and some applications on the German market are discussed.