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seen Aug 18 at 21:36

Jun
18
awarded  Teacher
Jun
17
comment Electricity market : how to design an optimal hedging strategy using spot and futures markets for an industrial consumer?
You may not consider it to be the primary risk but your exposure will absolutely depend on your ability to minimize the error in your forecast. I do think that \$ @ risk is better because you can then unitize this and potentially compare against the prices of load-following products that electric retailers offer.
Jun
16
answered Electricity market : how to design an optimal hedging strategy using spot and futures markets for an industrial consumer?
Jun
16
answered Basis Risk for Futures/Options
Jun
16
comment Electricity market : how to design an optimal hedging strategy using spot and futures markets for an industrial consumer?
I don't think I understand exactly what you're asking. Hypothetically speaking, a natural way to set this problem up is an assumption that the company is implicitly short (by some estimate of their future consumption) the forward curve and is purchasing 100% of their power in the spot market (which according to no-arb converges to spot price as contract goes to delivery).
Mar
20
awarded  Scholar
Mar
20
accepted How to think about pricing this weather call option
Mar
16
comment How to think about pricing this weather call option
Thanks for the reference. I will take a read of it shortly.
Mar
16
awarded  Supporter
Mar
16
comment How to think about pricing this weather call option
Had gotten as far as Ornstein-Uhlenbeck to model temps. Good to know that it's still latest and greatest among practitioners. Thanks.
Mar
14
awarded  Student
Mar
14
revised How to think about pricing this weather call option
added 1 characters in body
Mar
14
awarded  Editor
Mar
14
revised How to think about pricing this weather call option
deleted 1 characters in body
Mar
14
asked How to think about pricing this weather call option