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Optimization Methods for Gas and Power Markets

Theory and Cases

  • Enrico Edoli
  • Stefano Fiorenzani
  • Tiziano Vargiolu

Part of the Applied Quantitative Finance series book series (AQF)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 1-25
  3. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 26-68
  4. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 69-91
  5. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 92-104
  6. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 105-113
  7. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 114-145
  8. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 146-160
  9. Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
    Pages 161-184
  10. Back Matter
    Pages 185-192

About this book

Introduction

As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it.

Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions.

This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice.

Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

Keywords

algorithms dynamic programming dynamics energy incomplete markets linear optimization modeling nonlinear optimization optimization Optimization Methods Quantitative Analysis valuation

Authors and affiliations

  • Enrico Edoli
    • 1
  • Stefano Fiorenzani
    • 1
  • Tiziano Vargiolu
    • 2
  1. 1.PhinergyItaly
  2. 2.University of PaduaItaly

Bibliographic information

  • DOI https://doi.org/10.1057/9781137412973
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2016
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Economics and Finance
  • Print ISBN 978-1-349-56815-4
  • Online ISBN 978-1-137-41297-3
  • Buy this book on publisher's site