期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2010
卷号：2010
期号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：Financial derivatives are important hedging tool for asset’s manager. Electricity is by its very
nature the most volatile commodity, which creates big incentive to share the risk among the
market participants through financial contracts. But, even if volume of derivatives contracts
traded on Power Exchanges has been growing since the beginning of the restructuring of the
sector, electricity markets continue to be considerably less liquid than other commodities. This
paper tries to quantify the effect of this insufficient liquidity on power exchange, by introducing a
pricing equilibrium model for power derivatives where agents can not hedge up to their desired
level. Mathematically, the problem is a two stage stochastic Generalized Nash Equilibrium and its
solution is not unique. Computing a large panel of solutions, we show how the risk premium and
player’s profit are affected by the illiquidity.
关键词：illiquidity, electricity, power exchange, artitrage, generalized Nash Equilibrium,
equilibrium based model, coherent risk valuation.
