Browsing NTNU Open by Author "Haugstvedt, Daniel"
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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 ... -
Hydropower Scheduling Analysis Using Statistics and Stochastic Programming
Haugstvedt, Daniel (Doktoravhandlinger ved NTNU, 1503-8181; 2014:229, Doctoral thesis, 2014)Vannkraftprodusenter med magasin har muligheten til å flytte produksjon til timer hvor prisen er gunstig. Dette øker produsentenes inntekter og bidrar til å møte samfunnsbehovet for elektrisitet. Å flytte produksjonen til ... -
Numerical Path Integration Applied to Options under the Normal Inverse Gaussian Market Model: Pricing path dependent options on Nord Pool electricity forwards when assuming normal inverse Gaussian dynamics by numerical path integration
Haugstvedt, Daniel (Master thesis, 2010)In citeasnoun{SkaugNaess2007} Path integration (PI) was used on discretely monitored barriers options with a log normal return. Compared to the trinomial three used in citeasnoun{BroadieEtAl1997} it is an order of magnitude ...