2008-03-17Buch DOI: 10.18452/8390
Delta-Hedging a Hydropower Plant Using Stochastic Programming
Wallace, Stein W.
An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inﬂow and electricity prices. Furthermore, the producers want to hedge the risk in the operating proﬁt. This article demonstrates how stochasticprogramming can be used to solve a multi-reservoir hydro scheduling case for a price-takingproducer, and how such a model can be employed in subsequent delta-hedging of the electric-ity portfolio.
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