Forward contracts for electricity and their correlation with spot markets

Author

Palamarchuk, S.I.

Author_Institution

Inst. of Energy Syst. Inst., Russian Acad. oc Sci., Irkutsk, Russia

Volume

1

fYear

2003

fDate

23-26 June 2003

Abstract

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.

Keywords

dynamic programming; power markets; scheduling; stochastic processes; bidding curve construction; contract pricing; dynamic programming scheme; electricity forward contract implementation; flexible forward contract scheduling; no-arbitrage principle; problem solving; retail market; spot markets; stochastic optimization problems; Couplings; Dynamic programming; Dynamic scheduling; Electricity supply industry; Forward contracts; Instruments; Pricing; Problem-solving; Stochastic processes; Weather forecasting;

fLanguage

English

Publisher

ieee

Conference_Titel

Power Tech Conference Proceedings, 2003 IEEE Bologna

Print_ISBN

0-7803-7967-5

Type

conf

DOI

10.1109/PTC.2003.1304152

Filename

1304152