A Stochastic Model for Power Prices in the Alberta Electricity Market

Simple item page
dc.contributor.advisorWare, Antony Frank
dc.contributor.authorAnsari Esfeh, Zahra
dc.contributor.committeememberSwishchuk, Anatoliy
dc.contributor.committeememberSezer, Ayse Deniz
dc.date2022-11
dc.date.accessioned2022-05-11T19:51:18Z
dc.date.available2022-05-11T19:51:18Z
dc.date.issued2022-05-09
dc.description.abstractWhile energy companies commit to provide the required amount of electricity to meet the power consumers’ demand, several factors can affect the demand for electricity and consequently, affect the electricity pricing. Example of these factors are weather conditions, cost of power generation, and government tax policies. Therefore, energy companies must deal with the problem of hedging load and price risk. Power prices typically exhibit some characteristics that are crucial to be considered in modelling power prices. In Alberta, periodicity, mean-reversion, and sudden power price spikes are the most common characteristics of power prices that can be explained by changes in supply and demand for electricity. The other significant feature of power prices in Alberta is the strong link between power prices and fuel prices. Therefore, it is important to obtain a power price model which shows the stochastic dynamics of fuel prices and energy demand (i.e., load) in Alberta. For this purpose, we propose a power price model considering the strong link between power price and load which facilitates the energy companies’ hedging purposes. We use the structural model for power price modelling in which the power spot price is assumed to be a parametric function of the influential factors, such as, fuel prices and load, and the dynamic features of power prices are specified by the stochastic processes of these influential factors. Incorporating these factors in the power price model allows to capture the significant features of power prices. This model also provides the opportunity of finding a closed form formula for power forward prices.en_US
dc.identifier.citationAnsari Esfeh, Z. (2022). A Stochastic Model for Power Prices in the Alberta Electricity Market (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/39767
dc.identifier.urihttp://hdl.handle.net/1880/114652
dc.language.isoengen_US
dc.publisher.facultyScienceen_US
dc.publisher.institutionUniversity of Calgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.en_US
dc.subjectElectricity marketen_US
dc.subjectRisk hedgingen_US
dc.subjectPower forward priceen_US
dc.subjectPredictionen_US
dc.subjectOptimizationen_US
dc.subject.classificationEducation--Mathematicsen_US
dc.subject.classificationStatisticsen_US
dc.titleA Stochastic Model for Power Prices in the Alberta Electricity Marketen_US
dc.typemaster thesisen_US
thesis.degree.disciplineMathematics & Statisticsen_US
thesis.degree.grantorUniversity of Calgaryen_US
thesis.degree.nameMaster of Science (MSc)en_US
ucalgary.item.requestcopytrueen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ucalgary_2022_ansariesfeh_zahra.pdf
Size:
2.15 MB
Format:
Adobe Portable Document Format
Description:
Thesis
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
2.62 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Open Theses and Dissertations