Modelling the financial risks of wind generation with Weibull
This paper discusses the manner in which wind generation can affect the half-hourly APX price and also the risk distributions associated with various power contracts. Wind generation is modelled using correlated doubly truncated Weibull distributions, and analytic formulae for the values of puts and calls are presented
In recent years there has been a marked increase in the amount of renewable generation delivered to the UK power market. For instance, official figures from the National Grid (see Elexon 2015; Gridwatch 2015) show that January 2015 was the most productive month ever for wind energy. During this month, 4.13 terawatt hours (TWh) of wind power was produced – enough to provide power for 8.7 million
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