Simulation Models for Supporting Hedging in Illiquid Markets

Market liquidity is a very important topic for financial risk management. This paper proposed the use of an integrated model (Monte Carlo, System Dynamics and Discrete Event Simulation) in order to support energy management in a steel plant. After the introduction, which presents a literature review, we have analyzed the use of System Dynamics (SD) and Discrete Event Simulation (DES). Finally, we have analyzed a case of a on-line real time tool related to steel production. In this case we used the techniques previously described emphasizing their strengths.