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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Modelling of Combined Wind / Gas Price Derivatives |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 58 |
| Date | 2021 |
| Abstract Text | Renewable energy sources are becoming increasingly important for power generation. Production capacities for solar energy and wind power have been extending over the last two decades in Germany with the intention to substitute electricity generated by coal, natural gas and nuclear power plants. In contrast to thermal power plants, the production capacity of wind and solar plants depends on weather. The increasing share of electricity production through renewable energies therefore also leads to greater fluctuations in electricity generation, which are influenced by the weather and are therefore difficult to control. Since the electricity price is based on the classic rules of supply and demand, an excessively large supply of electricity can meanwhile also lead to negative electricity prices, i.e. the provider pays the consumer for receiving the electricity. This thesis aims to assess the joint impact of wind on production volumes, and electricity prices on sales revenues. The insights gained in this analysis shall be used to develop a pricing model for an illustrative, combined wind / electricity price derivative, which a market participant might want to use to mitigate its financial risks. |
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