Browsing NTNU Open by Author "Nersten, Sveinung"
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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 ... -
Hydropower reservoir management using multi-factor price model and correlation between price and local inflow
Dimoski, Joakim; Nersten, Sveinung; Fleten, Stein-Erik; Löhndorf, Nils (Journal article, 2018)Hydropower producers with reservoir capacity have a special challenge when it comes to weighing the short-term profit from selling power in the day-ahead spot market against waiting for better electricity prices. In this ...