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.read more
Citations
More filters
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
Min Liu,Felix F. Wu +1 more
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
Saurabh Tewari,Ned Mohan +1 more
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
More filters
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
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.