hydro-thermal
Tue, 10/26/2010 - 11:24 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2009 |
| Authors | M.-Teresa Vespucci; Cristina Corchero; Mario Innorta; F.-Javier Heredia |
| Conference Name | 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009) |
| Series Title | Proceedings of the 11th International Conference on the Modern Information Technology in the Innovation Processes of the Industrial Enterprises (MITIP 2009) |
| Conference Date | 15-16/10/2009 |
| Conference Location | Bergamo, Italy |
| Type of Work | invited presentation |
| ISBN Number | 978-88-89555-09-05 |
| Key Words | research; hydro-thermal; futures; day-ahead; GAMS, CPLEX |
| Abstract | We consider a generation company operating in the liberalized electricity market, whose production system consists of hydro and thermal plants. Production is sold either directly to customers, by means of bilateral contracts, or on the spot market, where the electricity price is unknow until the market clearing process has taken place. Price risk may be hedged by financial tools provided by the Derivative Electricity Market. In this work futures contracts are considered, i.e. agreements to sell electricity in the future for a specified price. A Mixed Integer Linear Programming model is introduced for determining the unit commitment of thermal units and the dispatchment of available thermal units and hydro plants, aiming at maximizing profits. Numerical results on a case study are reported |
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Mon, 02/15/2010 - 15:42 — admin
Wed, 07/22/2009 - 16:46 — admin
Thu, 02/12/2009 - 13:04 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2008 |
| Authors | Vespucci, M.T.; Corchero, C.; Innorta, M.; Heredia, F.-Javier |
| Conference Name | 43rd Euro Working Group on Financial Modelling Meeting |
| Conference Date | 4-5/09/2008 |
| Publisher | Euro Working Group on Financial Modelling |
| Conference Location | Cass Business School, City University, London |
| Type of Work | Invited oral presentation |
| Key Words | research; electricity markets; day-ahead; futures contracts; hydro-thermal |
| Abstract | In this paper we develop a decision support procedure for a Price-Taker producer operating on Day-
Ahead and Physical Derivatives Electricity Markets. The management of the electricity generation
companies and their operation in the liberalized electricity market on a short-term horizon is an interesting
problem in continuous evolution. Specifically, the incorporation of the Electricity Derivatives Market is the natural improvement in the Electricity Day-Ahead Markets in most countries in the world. Therefore, the inclusion of the management of derivatives products in generation company models is also a natural improvement of them. In this work, the derivatives products studied are the futures contracts. |
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Thu, 02/12/2009 - 12:36 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2009 |
| Authors | Vespucci, M.T.; Corchero, C.; Heredia, F.-Javier; Innorta, M. |
| Conference Name | Third FIMA International Conference |
| Conference Date | 19-22/01/2009 |
| Conference Location | Gressoney Saint Jean, Italy. |
| Editor | Federazione Italiana di Matematica Applicata |
| Type of Work | Invited oral presentation |
| Key Words | research; electricity markets; futures contracts; hydro-thermal |
| Abstract | A decision support procedure is developed for the short-term hydro-thermal resource scheduling problem of a Generation Company operating in the liberalized electric energy market and aiming at profit maximization. The generation company is supposed to be a price-taker, i.e. without influence on the electricity market price: therefore the profit maximization model of the problem faced by the GenCo must take into account both technical problems of generation and uncertainty of electricity prices. The power producer may hedge against the significant risk factor represented by energy market-price by participating in the Derivatives electricity Market. The derivatives products considered in this work are the futures contracts. T |
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Wed, 12/17/2008 - 12:18 — admin
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