Electricity prices in competitive markets are extremely volatile with salient features such as mean-reversion and jumps and spikes. Modeling electricity spot prices is essential for asset and project valuation as well as risk management. I introduce the mean-reversion feature into a classical variance gamma model to model the electricity price dynamics as a mean-reverting variance gamma (MRVG) process. Derivative pricing formulae are derived through transform analysis and model parameters are estimated by the generalized method of moments and the Markov Chain Monte Carlo method. A real option approach is proposed to value a tolling contract incorporating operational characteristics of the generation asset and contractual constraints. Two simulation-based methods are proposed to solve the valuation problem. The effects of different electricity price assumptions on the valuation of tolling contracts are examined. Based on the valuation model, I also propose a heuristic scheme for hedging tolling contracts and demonstrate the validity of the hedging scheme through numerical examples. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized ARCH (GARCH) models are widely used to model price volatility in financial markets. Considering a GARCH model with heavy-tailed innovations for electricity price, I characterize the limiting distribution of a Value-at-Risk (VaR) estimator of the conditional electricity price distribution, which corresponds to the extremal quantile of the conditional distribution of the GARCH price process. I propose two methods, the normal approximation method and the data tilting method, for constructing confidence intervals for the conditional VaR estimator and assess their accuracies by simulation studies. The proposed approach is applied to electricity spot price data taken from the Pennsylvania-New Jersey-Maryland market to obtain confidence intervals of the empirically estimated Value-at-Risk of electricity prices. Several directions that deserve further investigation are pointed out for future research.

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The South African Electricity Distribution Industry is riddled with tariffs. Every utility in South Africa probably uses some method for allocating cost, whether it is theoretically founded or not. There are currently over 2000 different tariffs in South Africa and the need for rationalisation has been widely recognised and acknowledged. Many of these tariffs have not been the outflow of accepted methodologies but rather a function of individual utility policy and practices. There is however a dire need to standardise such methodologies in the future. A standardised methodology might be the only way to eventually rationalise the thousands of tariffs that exist in the electricity industry. Government has emphasised the importance of tariffs to be cost reflective in the future. The only possible way to reach this objective would be to determine clear and concise methods of allocating cost that can be utilised by the entire industry. This study project describes a standardised methodology for determining the cost to supply different customer categories in an electricity distributor. The methodology offers enough flexibility not to bind any party into laboursome, complex and time consuming costing activities. It does however require that the costs of a distributor are carefully investigated and all functions performed in the utility are isolated. This is referred to as ringfencing of costs. / AFRIKAANSE OPSOMMING: Die Suid-Afrikaanse Elektrisiteitverspreidingsbedryf het veelvuldige tariewe. Elke utiliteit in Suid-Afrika gebruik waarskynlik 'n metode vir kostetoedeling, wat nie noodwendig teoreties gebaseer is nie. Huidiglik is daar meer as 2000 verskillende tariewe in Suid-Afrika en dit word alom besef en erken dat gronde vir rasionalisering bestaan. Baie van die tariewe het nie ontstaan uit die gebruik van aanvaarbare berekeningsmetodes nie, maar was eerder die gevolg van individuele beleid en praktyke van utiliteite. Daar is 'n dringende behoefte om hierdie berekeningsmetodes in die toekoms te standardiseer. 'n Standaard metode mag die enigste manier wees om uiteindelik die duisende tariewe wat in die elektrisiteitsbedryf bestaan te rasionaliseer. Die regering het die belangrikheid dat tariewe in die toekoms koste reflekterend moet wees benadruk. Die enigste moontlike manier om hierdie doelwit te bereik, is om helder en duidelike metodes vir koste toedeling te bepaal vir gebruik deur die hele bedryf. Hierdie verhandeling beskryf 'n standaard metodologie om die koste te bepaal om verskillende klantegroepe in 'n elektrisiteitsverspreider van krag te voorsien. Die metodologie bied voldoende plooibaarheid om geen party aan arbeidintensiewe, kompleks en tydrowende kostebepalings te verbind nie. Dit vereis egter dat die koste van 'n verspreider noukeurig ondersoek word en dat alle funksies wat verrig word uitgelig word. Hierna word verwys as afbakening van kostes.

by Mak Chai-ming. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 58-59. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter / Chapter I --- INTRODUCTION --- p.1 / Chapter II. --- THE POWER INDUSTRY AND ITS PRODUCT --- p.3 / The Characteristics of Electricity --- p.3 / Power Industry of Hong Kong --- p.4 / The Product Profile of Electricity --- p.5 / Load Factor --- p.6 / Load Factor and Cost --- p.7 / Chapter III. --- BUSINESS CHALLENGES IN THE POST WAR DECADES --- p.12 / The Critical Problems - The First Challenge --- p.13 / The Scheme of Control Agreement --- p.14 / Goals and Objectives of CLP --- p.15 / Coal as Input - The Second Challenge --- p.16 / Chapter IV. --- COST OF ELECTRICITY AND ITS PRICING --- p.18 / The Tariff Structures --- p.18 / The Tariff of the Past --- p.19 / The Present Tariff --- p.19 / Cost of Service Study Model --- p.20 / Cost Identification --- p.21 / Cost Functionalisation --- p.21 / Costing Period Determination --- p.22 / Cost Allocation --- p.27 / Results and Interpretation --- p.28 / Rate of Return Determination --- p.28 / Unit Cost Analysis --- p.31 / Chapter V. --- REVIEW OF THE PRESENT TARIFF STRUCTURE --- p.35 / Objectives of the Present Tariff --- p.35 / Performance of the Tariff --- p.36 / Performance of the Company --- p.37 / Load Factor Improvement --- p.40 / Chapter VI --- THE NEW CHALLENGES AND THE STRATEGIES --- p.42 / The New Challenges --- p.42 / Changes in The External Market --- p.42 / The 1997 Issue of Hong Kong --- p.43 / Fuel Advantages Exhausted --- p.44 / The Company's Strategies Facing the New Challenges --- p.44 / Deferring Capital Investment --- p.45 / Supply Side Management --- p.45 / Diversification --- p.46 / Chapter VII. --- PROJECTED PERFORMANCE OF THE TARIFF --- p.49 / Maximum Demand Forecast and Generating Capacity Requirement --- p.49 / Projected Expenditure and Revenue Requirement --- p.50 / The New Objectives of the Tariff --- p.50 / Least Cost Planning --- p.50 / Energy Conservation --- p.50 / Factors to Consider for the Detailed Design of the Tariff --- p.50 / Price Elasticity --- p.52 / Scheme of Control --- p.52 / Load Factor Improvement --- p.52 / Chapter VIII. --- CONCLUSION --- p.53 / APPENDIX --- p.54 / BIBLIOGRAPHY --- p.58

EThekwini Electricity (EE) purchases its energy on the Megaflex tariff from Eskom which has had considerable changes in content over the years. This has caused the present tariffs offered by EE to move away from cost reflectivity. Structural changes over the years have caused distortion to even the supposedly cost reflect ‘Time of Use’ tariff (TOU) which emulated Eskom’s previous Large Power Users (LPU) tariffs. The divergence between the purchase of electricity and the method of recovery for the sales becomes a cause for concern. This opens EE to risk of not being able to offer cost reflective tariffs and diminish risks in recovery via the tariffs. This has an impact on the budgeted revenue. The primary intention of this study was to establish a formalised procedure and to develop a methodology that Ethekwini Electricity (EE) can use for the review of their tariffs. This study was necessary and extremely crucial for the mitigation of financial risk when tariffs are reviewed and restructured since the revenue recovered via the tariffs are in excess of 5 billion rand per annum. The study consisted of the development of a methodology which consists of a process flowchart and a series of Excel spreadsheets in which the analysis was done. The development of the model utilised information that were readily available and data that were extracted and manipulated from installed systems. The objectives were to determine all associated costs for the delivery of electricity, identify cost drivers, determine cost structure and finally determine applicable tariffs for EE. Issues such as customer categorisation, cross subsidisation, cost reflectivity and affordability were taken into account. This model could now be used in the future for tariff increases and applications to the regulator. This methodology was used to design of the 2009/2010 electricity tariffs for Ethekwini Electricity. The outcome of this study resulted in the re-categorisation of EE’s customer base, changes to the tariff structures and the phasing out of the non cost reflective tariffs. This study enabled the restructure of the LPU TOU tariff which was crucial for EE’s cost recovery. It also resulted in the development of two new TOU tariffs for residential and commercial customers. Whilst other municipalities experienced difficulties in recovering their revenue due to Eskom’s restructured Megaflex tariff, EE’s actual revenue differed by 1% when it was compared to the budgeted revenue towards the end of 2009. / Thesis (M.Sc.Eng.)-University of KwaZulu-Natal, Durban, 2010.

Orientador: Sergio Valdir Bajay / Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Mecanica / Made available in DSpace on 2018-08-14T08:30:24Z (GMT). No. of bitstreams: 1 Sales_JulioCesarFerreira_M.pdf: 3084346 bytes, checksum: b1e7ffdddc91e01a1778fd2c01b950b3 (MD5) Previous issue date: 2009 / Resumo: A dissertação tem origem nas avaliações da regulação econômica do setor de energia elétrica no Brasil, a partir do processo de revisão tarifária periódica implementada pela ANEEL que considera a metodologia de "reposicionamento tarifário". Essa metodologia acabou por gerar injustiças tarifárias com a elevação das tarifas dos consumidores das áreas de concessão economicamente menos desenvolvidas e redução das tarifas daquelas mais desenvolvidas. A identificação da condição inicial de equilíbrio econômico-financeiro do contrato de concessão das concessionárias de distribuição de eletricidade, a quantificação desta condição e como ela deve ser preservada ao longo do contrato, por meio das regras de revisão tarifária, é o principal ponto de argumentação apresentado aqui para correção das distorções existentes nas tarifas de energia elétrica após as revisões tarifárias. Essas considerações só são possíveis a partir de uma interpretação jurídica da lei de concessões (Lei 8987/1995) e do contrato de concessão diferente daquela adotada pela ANEEL. Em decorrência da abordagem apresentada são identificadas as condições que devem ser observadas no cálculo do fator "X" no momento da revisão tarifária periódica das concessionárias. / Abstract: The thesis originates in the evaluations of the economical regulation of the electric power sector in Brazil, particularly in what concerns the periodic tariff revision process implemented by the ANEEL, through the "tariff repositioning" methodology. This methodology ended up producing tariff injustices, with tariffs increases for the consumers of the economically less developed concession areas and tariff reductions for the consumers of more developed areas. The identification of the initial economic and financial equilibrium condition of the concession contract of the electric power distribution utilities, the quantification of this condition and how it should be preserved along the contract, through the tariff revision rules, are the main points discussed here for the correction of the existing distortions in the tariffs of electric energy, after the tariff revisions. The arguments put forward are based on a legal interpretation of the Concessions Law (Law 8987/1995) and the concession contracts different from that adopted by ANEEL. As a consequence of the approach presented, the conditions that should be observed in the calculation of the "X" factor, during the periodic tariff revisions of the utilities, are identified. / Mestrado / Mestre em Planejamento de Sistemas Energéticos