Forward contracts for electricity and their correlation with spot markets

The paper considers a flexible forward contract implementation in the market environment. A market participant is able to draw electricity from the forward contract and resell it to the spot or retail market. Several stochastic optimization problems are presented for the flexible forward contract scheduling. A dynamic programming scheme is described for the problem solving. A no-arbitrage principle is applied for the contract pricing. The numerical example demonstrates a procedure for the bidding curve construction, which is useful for making the contract arrangement.