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This paper describes a method for optimal scheduling of hydropower systems for a profit maximizing, price-taking and risk neutral producer selling energy and capacity to separate and sequentially cleared markets. The method is based on a combination of stochastic dynamic programming (SDP) and stochastic dual dynamic programming (SDDP), and treats inflow to reservoirs and prices for energy and capacity as stochastic variables.The proposed method is applied in a case study for a Norwegian watercourse, quantifying the expected changes in schedules and water values when going from an energy-only market to a joint treatment of energy and reserve capacity markets.Arild Helseth (M'10) was born on Stord, Norway in 1977. He received the M.Sc. and Ph.D. degrees in electrical power engineering from the Norwegian University of Science and Technology. Currently he works at SINTEF Energy Research with hydro-thermal and hydropower scheduling models and methods.