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dc.rights.licenseAl consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.es_CO
dc.contributor.advisorCadena Monroy, Ángela Ines 
dc.contributor.advisorBenavides Estévez-Breton, Juan Mauricio
dc.contributor.advisorAlzate Vélez, Juan M.
dc.contributor.authorVizcaíno Sánchez, Gabriel Andrés
dc.description.abstractStarting from the conceptual framework defined by Oum, Oren andDeng, this paper seeks to design financial instruments to offersimultaneous price-quantity hedging in wholesale electricity markets.Instruments designed minimize replicating errors for both power pro-ducers and retailers from a market maker's perspective. An infinitecollection of derivatives ("exotic option") emerges as the solution ofthis price-quantity hedging. This exotic option is then replicated witha portfolio composed by risk free bonds, forward/futures contracts, andstandard options.A dynamic hedging strategy to rebalance agents' position through timeis also proposed. This strategy is found by maximizing a static expec-ted utility problem at options' maturity subject to constraints.The proposed approaches are proven within the Colombian wholesaleelectricity market framework. Results allow to experimentally validatesome theoretical results presented and evidence improvements forpower producers and retailers' profits by following hedging strategiesproposed. Intuition suggests financial instruments proposed would helpto address major problems in the Colombian power market such as lackof liquidity and anonymity present in the current trading scheme.
dc.format.extent49 hojases_CO
dc.sourceinstname:Universidad de los Andeses_CO
dc.sourcereponame:Repositorio Institucional Sénecaes_CO
dc.titleFinancial options for price-quantity hedging in competitives power markets ideas for the Colombian casees_CO
dc.typeTrabajo de grado - Maestríaes_CO
dc.publisher.programMaestría en Ingeniería Industriales_CO
dc.subject.keywordElectricidad - Industria - Investigaciones - Colombiaes_CO
dc.subject.keywordTránsito local - Investigaciones - Colombiaes_CO
dc.subject.keywordTracción eléctrica - Investigaciones - Colombiaes_CO
dc.subject.keywordTransmisión de potencia - Investigaciones - Colombiaes_CO
dc.subject.keywordFerrocarriles eléctricos - Equipo y accesorios - Evaluación - Colombiaes_CO
dc.creator.degreeTesis (Magíster en Ingeniería industrial) -- Universidad de los Andeses_CO
dc.publisher.facultyFacultad de Ingenieríaes_CO
dc.publisher.departmentDepartamento de Ingeniería Industriales_CO
dc.description.degreenameMagíster en Ingeniería Industriales_CO

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