Risk Modelling Of Electric Forward Contracts And Strategies Of Electric Contracts Transaction Based On POOL Under Power Market

The worldwide restructuring and deregulation of electric power industry has led to an active electricity market with much more risks to market participants that they did not have to face during the regulated era. Forward contracts and optional forward contracts have become effective tools for risk management and bilateral transaction in electricity markets. Risk modelling of electric forward contracts and strategies of electric contracts transaction under power market based on POOL operation are mainly studied in this paper. In primary stage of electricity market, the issue of how to assign the volume of electric forward contracts for IPP in order to gain the minimum risk and stable profits with condition of electric contracts, which cannot be freely sold or bought, is discussed firstly after comparing electricity market different structures. Then it presents a solution to optimise volume of electric contracts under condition of contracts can be sold or bought freely. Purchaser's strategies of transaction in each spot scheduling under the same condition is given. A numerical example based on Matlab shows efficiency of the proposed approach. The thesis focuses on theoretical studies of risk modelling of forward contracts in chapters. The case of electricity in our country is that there are still some areas with power market oligopoly by local utilities and the electric price is determined by marginal cost of generation, so modelling marginal cost of power generation uncertainty in electricity forward contracts between IPP and utilities as well as consumers and utilities are designed. The method of pricing with option ideas for interruptible electric power is discussed between IPPs and utilities considering maximization profits of IPP as target function. The approach is used for analysing between consumers and utilities. Then modelling consumer's demand uncertainty in electricity forward contracts is developed. A detailed calculation example based on Matlab is given to show the model applicable.