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R. Kovacevic:
"Electricity contract pricing as optimization problem - from replication pricing to swing options";
Vortrag: Habilitationskolloquium Raimund Kovacevic, Wien; 26.09.2019.

Pricing and valuation of physical delivery contracts for electricity are important tasks for participants in electricity markets, in particular for traders and generating companies. Adequate methods have to account for the production process and related physical frictions. Therefore, while basic financial principles are important, it is difficult to apply standard results from finance, because of market incompleteness. Based on concave acceptability functionals, the present talk discusses several pricing strategies, namely replication pricing, acceptability pricing and indifference pricing. In the present context, all of these strategies can be implemented as optimization problems for production and trading decisions. These principles are applied to delivery contracts with stochastic delivery patterns, as well as to swing options, i.e delivery contracts with discretionary decisions by the buyer. The latter case leads to Stackelberg-type bilevel optimization problems.