F.-Javier Heredia - Academic web site

Publication Type	Journal Article
Year of Publication	2018
Authors	F.-Javier Heredia; Julián Cifuentes-Rubiano; Cristina Corchero
Journal Title	Journal of Environmental Management
Volume	207
Issue	1
Pages	12
Start Page	432
Journal Date	February 2018
Publisher	Elsevier
ISSN Number	0301-4797
Key Words	research; OR in Energy; Stochastic Programming; Risk Management; Electricity market; Emissions reduction; paper
Abstract	There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) within the framework of the current energy market. Environmental policy issues are giving rise to emission limitation that are becoming more and more important for fossil-fueled power plants, and these must be considered in their management. This work investigates the influence of the emissions reduction plan and the incorporation of the medium-term derivative commitments in the optimal generation bidding strategy for the day-ahead electricity market. Two different technologies have been considered: the high-emission technology of thermal coal units and the low-emission technology of combined cycle gas turbine units. The Iberian Electricity Market (MIBEL) and the Spanish National Emissions Reduction Plan (NERP) defines the environmental framework for dealing with the day-ahead market bidding strategies. To address emission limitations, we have extended some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), thus leading to the new concept of Conditional Emission at Risk (CEaR). This study offers electricity generation utilities a mathematical model for determining the unit’s optimal generation bid to the wholesale electricity market such that it maximizes the long-term profits of the utility while allowing it to abide by the Iberian Electricity Market rules as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. We analyze the economic implications for a GenCo that includes the environmental restrictions of this National Plan as well as the NERP’s effects on the expected profits and the optimal generation bid.
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DOI	10.1016/j.jenvman.2017.11.010
Preprint	http://hdl.handle.net/2117/114024
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The paper Stochastic optimal generation bid to electricity markets with emissions risk constraints has been published in the Journal of Environmental Management , Elsevier. This work investigates the influence of the emissions reduction plan and the incorporation of the medium-term derivative commitments in the optimal generation bidding strategy for the day-ahead electricity market. To address emission limitations, we have extended some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), thus leading to the new concept of Conditional Emission at Risk (CEaR). We analyze the economic implications for a GenCo that includes the environmental restrictions of this National Plan as well as the NERP's effects on the expected profits and the optimal generation bid. Preprint available at http://hdl.handle.net/2117/114024.

Publication Type	Conference Paper
Year of Publication	2014
Authors	F.-Javier Heredia; Julián Cifuentes; Cristina Corchero
Conference Name	IFORS2014: 20th Conference of the International Federation of Operational Research Societies
Conference Date	13-18/07/2014
Conference Location	Barcelona
Type of Work	Invited presentation
Key Words	research; emission limits; risk; stochastic programming; day-ahead electricity market; combined cycle units
Abstract	This work allows investigating the influence of the emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Valueat- Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.
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Publication Type	Report
Year of Publication	2013
Authors	F.-Javier Heredia; Julian Cifuentes; Cristina Corchero
Pages	21
Date	09/2013
Reference	Research report DR 2013/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/20640. Universitat Politècnica de Catalunya
Prepared for	submitted
Key Words	research; OR in Energy; Stochastic Programming; Risk Management; Electricity market; Emission reduction
Abstract	There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows investigating the influence of the emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission-at-Risk (CEaR). This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, as well as the environmental restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.
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Publication Type	Tesis de Grau i Màster // BSc and MSc Thesis
Year of Publication	2012
Authors	Julian Cifuentes Rubiano
Director	F.-Javier Heredia
Tipus de tesi	MSc Thesis
Titulació	Master in Statistics and Operations Research
Centre	Faculty of Mathematics and Statistics
Data defensa	21/12/2012
Nota // mark	9.5/10
Key Words	teaching; stochastic programming; electricity markets; CO2 allowances; environment; emission limits; emission risk; CVaR; CEaR; modeling languages; MSc Thesis
Abstract	There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value at Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.. The problem to be solved in this project will provide generationutilities with a mathematical tool to find the individual optimal generation bid for each one of theirgeneration units that maximizes the long-run profits of the utility abiding by the Iberian ElectricityMarket rules, the environmental restrictions of the EU Emission Trading Scheme and also by theSpanish National Emissions Reduction Plan
DOI / handle	http://hdl.handle.net/2099.1/17485
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Publication Type	Proceedings Article
Year of Publication	2012
Authors	Cristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name	2012 9th International Conference on the European Energy Market (EEM 2012)
Series Title	IEEE Conference Publications
Pagination	1-8
Conference Start Date	10/05/2012
Publisher	IEEE
Conference Location	Florence
Editor	IEEE
ISSN Number	-
ISBN Number	978-1-4673-0834-2
Key Words	research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages; paper
Abstract	There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
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DOI	10.1109/EEM.2012.6254676
Preprint	http://hdl.handle.net/2117/18691
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Publication Type	Conference Paper
Year of Publication	2012
Authors	Cristina Corchero; F.-Javier Heredia; Julián Cifuentes
Conference Name	9th International Conference on the European Energy Market (EEM12)
Conference Date	10-12/05/2012
Conference Location	Florence, Italy
Type of Work	Contributed presentation
Key Words	research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages
Abstract	There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed.
URL	Click Here
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