Fitting baseload and peakload futures contracts to future planned energy demand

• Authors: Kudyba Dominik
• Languages of publication: EN

Abstracts

EN

In connection with the ongoing process of liberalization in the Polish electricity market, customer orientation and its needs are becoming an important competitive advantage of electricity trading companies. The aim of this article is an attempt to present and solve the problem of fitting baseload and peakload futures contracts to future planned energy demand as a multicriteria programming problem. Due to the large number of variables and nonsmooth criteria the Monte Carlo simulation was used to solve the problem. The model has been built to minimize price and imbalance volume between future planned demand and standard products able to purchase on the Polish commodity market. Due to future SPOT, the settlement simulation model requires future SPOT prices.

Keywords

EN

electricity; hedging; multicriteria optimization; electricity futures contracts

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Mathematical Economics
• Year: 2013
• Issue: 9 (16)
• Pages: 29-38

Contributors

author

Kudyba Dominik

References

• Bunn W.D. (2004). Modeling Prices in Competitive Electricity Markets. John Wiley & Sons.
• Deng S-J., Xu L., (2009). Mean-risk efficient portfolio analysis of demand response and supply resources. Energy 34. Elsevier. Pp. 1523-1529.
• Fusaro P. (2008). The professional risk managers guide to the energy market. PRIMA Institute.
• Goldberg R., Read J., Altman A., Audouin R. (2007). Delta hedging energy portfolios: an exploratory study. Proceedings of the 40th Hawaii Conference on system sciences.
• Gotham D., Muthuraman K., Preckel P., Rardin R., Ruangpattana S. (2009). A load factor based mean-variance analysis for fuel diversification. Energy Economics 31. Elsevier. Pp. 249-256.
• Iacus S.M. (2007). Simulation and inference for stochastic differential equations with R examples. Springer.
• James T. (2007). Energy market. Price risk management and trading. Willey. Kaminski V. (2004). Managing Energy Price Risk. Risk Publications.
• Kaminski V. (2005). Energy Modeling. Advances in the Management of Uncertainty. Risk Publications.
• Jajuga K., Jajuga T. (2009). Inwestycje. Instrumenty finansowe, ryzyko finansowe, inżynieria finansowa. PWN.
• Michalski D., Krysta B., Lelątko P. (2004). Zarządzanie ryzykiem na rynku energii elektrycznej. Instytut Doskonalenia Wiedzy o Ryku Energii. Warszawa.
• Mielczarski W. (2000). Rynki energii elektrycznej. Wybrane aspekty techniczne i ekonomiczne. ARE S.A. Warszawa.
• Oum Y., Oren S. (2009). VaR constrained hedging of fixed price load-following obligations in competitive electricity markets Risk and Decision Analysis 1. IOS Press and the authors. Pp. 43-56.
• Weron A., Weron R. (2000). Giełda energii. Strategie zarządzania ryzykiem. CIRE. Wrocław.
• Polish Power Exchange website: www.tge.pl [24.04.2012].
• Association of Energy Trading website http://www.toe.pl/cache/2/40/222/ [2012-04-24].
• Energy Regulatory Office website: http://www.ure.gov.pl [24.04.2012].