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Journal ArticleDOI

Pricing flexible electricity contracts

TLDR
In this paper, the authors proposed a scheduling policy for flexible contracts that allow flexible scheduling of the supply or demand of electric energy, based on the principle of no-arbitrage.
Abstract
This paper is concerned with pricing of electricity contracts that allow flexible scheduling of the supply or demand of electric energy. The contracts are priced based on the principle of no-arbitrage. Variables of the contracts are used to determine arbitrage opportunities and the price of contracts. Pricing of flexible contracts involves a scheduling policy. By representing the spot price with an appropriate stochastic process, the scheduling policy can be found using stochastic dynamic programming. Simulation examples illustrate the tradeoffs between prices and scheduling flexibility.

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Citations
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Journal ArticleDOI

Risk assessment in energy trading

TL;DR: In this paper, the authors provide a state-of-the-art summary of risk assessment in energy trading, including portfolio analysis and hedging instruments, and provide a comprehensive critical literature survey of what has been applied to date in the power markets.
Journal ArticleDOI

Nash Equilibrium Bidding Strategies in a Bilateral Electricity Market

TL;DR: In this article, the authors examined bidding strategies in a bilateral market in which generating companies submit bids to loads and derived necessary and sufficient conditions of Nash equilibrium bidding strategy based on a generic generating cost matrix and the loads' willingness to pay vector.
Journal ArticleDOI

Portfolio optimization in electricity markets

TL;DR: In this article, the problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets, and historical data of the PJM electricity market are used to demonstrate the approach.
Journal ArticleDOI

Energy procurement for large consumers in electricity markets

TL;DR: In this article, the authors considered a large consumer that procures its electric energy in an electricity market, involving both pool and bilateral transactions, and the consumer operated a self-production facility of limited size.
Journal ArticleDOI

Value of NAS Energy Storage Toward Integrating Wind: Results From the Wind to Battery Project

TL;DR: In this paper, the authors present field results and analyses quantifying the ability and the value of NAS battery energy storage toward shifting wind generation from off-peak to on-peak, limiting the ramp rate of wind farm output, and a strategy to integrate the aforementioned goals.
References
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Book

Dynamic Programming

TL;DR: The more the authors study the information processing aspects of the mind, the more perplexed and impressed they become, and it will be a very long time before they understand these processes sufficiently to reproduce them.
Book

Brownian Motion and Stochastic Calculus

TL;DR: In this paper, the authors present a characterization of continuous local martingales with respect to Brownian motion in terms of Markov properties, including the strong Markov property, and a generalized version of the Ito rule.
Book

Options, Futures, and Other Derivatives

John Hull
TL;DR: The Black-Scholes analysis of stock option prices was used in this paper to model the behavior of stock prices and the Yield Curve of stock options, as well as the Black's model for option pricing.
Book

Spot Pricing of Electricity

TL;DR: In this paper, the authors present a method to find the most relevant information from Bibliogr. : p. 255-266. Index Reference Record created on 2004-09-07, modified on 2016-08-08

scheduling in a deregulated system. The Norwegian case

TL;DR: The givas supply system in Norway, approach is described in this paper, where the scheduling is carried out is based on profit important factor; this price of the paper describes market price as an how to extend the common this case.
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