IJPAM: Volume 13, No. 2 (2004)


Matthias Weber
Department of Information Technology and Mathematics
Dresden University of Applied Sciences
P.O. Box 12 07 01, Dresden 01008, GERMANY
e-mail: matthias.weber@informatik.htw-dresden.de

Abstract.We present a model for an electricity market consisting of market participants that are as well producers as retailers of electrical power.

The participants are modelled by their production capacities, production costs, risk aversion and the random demand on electrical power of the costumers for the next day. This demand has to be supplied by a combination of own generation and the day-ahead trade. If the demand exceeds own generation plus the amount purchased in the day-ahead trade of the forgoing day, the missing amount must be purchased on the real-time marked to a high price. This price enters the calculation of the optimal position in the day-ahead trade as a random variable.

We give conditions for the existence of an equilibrium forward price in the day-ahead trade, present some examples, and calculate the optimal forward price for some examples.

Received: March 12, 2004

AMS Subject Classification: 91B26, 91B52, 91B70

Key Words and Phrases: electricity, risk, equilibrium model, forward contract

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2004
Volume: 13
Issue: 2