stochastic programming approach to replication of electricity custom contract for industry.
Published: 2006
Language: eng
Number of pages: 68
ISBN-13: 9780494212936
Description: The aim of this Master's Thesis is to develop stochastic programming models that can be used by the supplier of custom contracts to minimize the cost of supply in meeting contract obligations. In the first part, we develop a two-stage stochastic programming model that minimizes expected costs of supply in replicating a single custom electricity forward contract. In the second part, we use a similar framework to look at the replication of multiple custom forward contracts: the same set of replicating instruments to meet the contracts obligations. Instead of minimizing expected cost with a proxy of market risk, we minimize the expected loss under an exogenously determined worse condition with a risk measure: Conditional Value-at-Risk (CVaR). In the third part, we describe the numerical implementation. The procurement strategy using the expected cost approach and the CVaR approach are analyzed and compared.
Notes: Source: Masters Abstracts International, Volume: 45-03, page: 1629.

Thesis (M.A.Sc.)--University of Toronto, 2006.

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