Blar i NTNU Open på forfatter "Fleten, Stein-Erik"
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Day-ahead market bidding taking the balancing power market into account
Klæboe, Gro; Braathen, Jørgen; Eriksrud, Anders Lund; Fleten, Stein-Erik (Journal article; Peer reviewed, 2022) -
Decision analytics in hydropower: Investment and operational planning under uncertainty
Kleiven, Andreas (Doctoral theses at NTNU;2022:78, Doctoral thesis, 2022)Den pågående overgangen til et mer bærekraftig kraftsystem byr på utfordringer, men også muligheter. Fra perspektivet til vannkraftsprodusenter gir den raske utviklingen av kraftsektoren opphav til komplekse stokastiske ... -
Digging for Returns: Can Text Mining Improve Equity Return Predictions?
Olsen, Maja Z.; Fjellavli, Sindre F. (Master thesis, 2020)Tekstgruvedrift har fått en økende rolle i finansielle applikasjoner, enten det er å undersøke innhold i nyhetartikler, se på timing og innhold i årsrapporter eller analysere effekten av sentiment i tekst. Denne studien ... -
Don’t stop me now: Incremental capacity growth under subsidy termination risk
Nagy, Roel L. G.; Fleten, Stein-Erik; Sendstad, Lars H. (Peer reviewed; Journal article, 2022)Once a subsidy scheme is close to reaching its goal or loses political support, it may be terminated. An important question for policy makers is how to minimize the negative impact of the risk of subsidy termination on ... -
Dynamic Hedging for a Norwegian Hydropower Producer - Electricity prices, inflow and currency risk
Nersten, Sveinung; Dimoski, Joakim (Master thesis, 2018)This master's thesis consists of two articles. In the first article, we present a global, dynamic model for hedging of hydropower production. We include stochastic processes for spot and futures prices, reservoir inflow ... -
Dynamic hedging for the real option management of hydropower production with exchange rate risks
Dimoski, Joakim; Fleten, Stein-Erik; Löhndorf, Nils; Nersten, Sveinung (Journal article; Peer reviewed, 2023)We study the risk management problem of a hydropower producer that hedges risk by trading currency and power futures contracts. The model considers three types of risks: operational risk due to supply uncertainty, profit ... -
Effektiviteten i det europeiske kraftmarkedet:: Et tiltak for å inkludere fleksibilitet fra termisk kraftproduksjon
Tjeransen, Carl Fredrik; Rudlang, Erik Brendbekken (Master thesis, 2014)De er nødvendig å redusere kraftproduksjon fra tradisjonelle energikilder som kull og gass og øke andelen ny fornybar kraftproduksjon som ikke skader miljøet. Dette skiftet skjer i flere Europeiske land. Fornybar kraftproduksjon ... -
Electricity capacity expansion in a Cournot duopoly
Brøndbo, Helene Kvilhaug; Storebø, Alexander; Fleten, Stein-Erik; Boomsma, Trine Krogh (Journal article; Peer reviewed, 2017)This paper adopts a real options approach to analyze marginal investments in power markets with heterogeneous technologies and time-varying demand. We compare the investment behavior of two firms in a Cournot duopoly to a ... -
Electricity futures prices: time-varying sensitivity to fundamentals
Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur (Journal article, 2015)This paper provides insight into the time-varying relation between electricity futures prices and fundamentals in the form of contract prices for fossil fuels. As supply curves are not constant and different producers have ... -
Electricity market design and production planning: Improving economic efficiency and supporting the integration of renewables
Risanger, Simon Indrøy (Doctoral theses at NTNU;2021:358, Doctoral thesis, 2021)This thesis investigates novel market designs and production planning. Its overarching goal is to improve the economic efficiency of electricity markets and support the integration of renewable electricity production. ... -
Electricity Price Forecasting Benchmark of ENTCN on Nordic Bidding Areas
Bugge, Erling Stray; Wang, Tarje Rusten (Master thesis, 2022)Selv om prognoser for strømpriser har sett et mylder av foreslåtte modeller de siste tiårene, har feltet fortsatt et begrenset antall systematiske benchmarkinger. I denne oppgaven utfører vi en strukturert benchmark av et ... -
Empirical Analysis of Hydropower Scheduling
Lien, Morten Adrian; Brelin, Sebastian (Master thesis, 2017)A reservoir manager at a hydropower plant has to decide whether or not to release water in order to produce electricity, and the level at which to produce. These production levels have different related efficiencies as ... -
Essays on electricity price modelling
Hagfors, Lars Ivar (Doctoral theses at NTNU;2018:302, Doctoral thesis, 2018)This doctoral thesis consists of 6 separate research essays. The essays all use various econometric modelling techniques to examine different aspects of the move towards cleaner energy in Europe, from an economic point of ... -
Evaluating a stochastic-programming-based bidding model for a multireservoir system
Aasgård, Ellen; Andersen, Gørild; Fleten, Stein-Erik; Haugstvedt, Daniel (Journal article; Peer reviewed, 2014)Hydropower producers need to schedule when to release water from reservoirs and participate in wholesale electricity markets where the day-ahead production is physically traded. A mixed-integer linear stochastic model for ... -
Evaluation of static hedging strategies for hydropower producers in the Nordic market
Fleten, Stein-Erik; Bråthen, Espen; Nissen-Meyer, Sigurd-Erik (Journal article; Peer reviewed, 2010)In this paper we develop an optimization model to derive static hedge positions for hydropower producers with different risk characteristics. Previous research has primarily considered dynamic hedging; however, static ... -
Framework for R&D decisions: A real options approach
Houge, Jørgen Blystad; Westlie, Magnus (Master thesis, 2011)This thesis proposes the use of the hybrid real options framework presented by Neely (1998)to facilitate valuation of, and decision making in, R&D projects. The framework combines thefavorable benefits from Decision Analysis ... -
Gas-fired power plants: Investment timing, operating flexibility and CO2 capture
Fleten, Stein-Erik; Näsäkkälä, Erkka (Journal article; Peer reviewed, 2010)We analyze investments in gas-fired power plants based on stochastic electricity and natural gas prices. A simple but realistic two-factor model is used for price processes, enabling analysis of the value of operating ... -
Green electricity investment timing in practice: Real options or net present value?
Fleten, Stein-Erik; Linnerud, Kristin; Molnar, Peter; Nygård, Maria Tandberg (Journal article; Peer reviewed, 2016)Using data from 214 hydropower projects in Norway we study whether investors in renewable energy projects exert discretion about the timing of investment decisions. We know from interviews with these investors that they ... -
How to proceed with competing alternative energy technologies: A real options analysis
Siddiqui, Afzal; Fleten, Stein-Erik (Journal article; Peer reviewed, 2010)Concerns about CO2 emissions create incentives for the development and deployment of energy technologies that do not use fossil fuels. Indeed, such technologies would provide tangible benefits in terms of avoided fossil-fuel ... -
Hydroelectric Real Options: A Structural Estimation Approach
Foss, Marius Øverland; Høst, Alexander (Master thesis, 2011)Structural estimation is an important technique in analyzing economic data. Unfortunately, it is often computationally expensive to implement the most powerful and efficient statistical methods. One such method is the ...