著者

三澤 哲也

出版者

一般社団法人 電気学会

雑誌

電気学会論文誌B(電力・エネルギー部門誌) (ISSN:03854213)

巻号頁・発行日

vol.125, no.5, pp.457-460, 2005 (Released:2005-08-01)

参考文献数

18

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Recently, the wholesale electric power exchange has been founded in Japan. With the progress of the electricity market, some management schemes of electricity price risk will be necessary. In financial markets or the preceding electricity markets, various “derivatives" on assets in the markets are often used as management tools to hedge the price risk. This paper gives a short commentary on some fundamental concepts of the derivatives and the pricing theory in the financial engineering, and discusses the problems on the financial engineering approach to electricity derivatives.