文档介绍：Diss. ETH No. 14727
Hedging Strategy and Electricity
Contract Engineering
A dissertation submitted to the
SWISS FEDERAL INSTITUTE OF TECHNOLOGY
ZURICH
for the degree of
Doctor of Technical Sciences
presented by
GUSTAF UNGER
M. Sc. Mechanical Engineering, Royal Institute of Technology
M. Sc. Business Administration and Economics, Stockholm School of Business
born 27th April 1973
citizen of Sweden
accepted on the mendation of
Prof. Dr. Hans-Jakob Luthi,¨ examiner
Prof. Dr. Massimo Filippini, co-examiner
Prof. Dr. Rajna Gibson, co-examiner
Prof. Dr. Hans-Jor¨ g Schotzau,¨ co-examiner
2002
ii
Acknowledgements
During my time at the Institute for Operations Research at the Swiss Federal
Institute of Technology I got the opportunity to learn a great deal about the
electricity sector and its challenges. First of all I owe many thanks to Prof.
Hans-Jakob Luthi,¨ the referee of my thesis, who initiated this project and
always gave me his full support. Among various things he taught me how to
formalize ideas and how to prove, or reject, statements based on intuition and
common sense. For this I am very grateful.
I also wish to thank my co-referees Prof. Massimo Filippini for his assistance
on energy economics, Prof. Rajna Gibson for her helpful involvement and for
guiding me through the closely related field of finance, and Prof. Hans-Jor¨ g
Schotzau¨ for establishing a valuable contact with the electricity industry.
Thanks also to the former employees of NOK and Axpo, Dr. Werner Leuthard
and Dr. Dieter Reichelt, with whom I had numerous interesting discussions.
Many thanks also to my colleagues at the Institute for Operations Research,
who have assisted me during the course of this work.
Finally I wish to thank my fiancee´ Irma for following me to Switzerland and
for her constant support.
iv
Abstract
This thesis studies risk management in the electricity market in general and the
interaction between physical production