基于pool模式的中長期電力合約交易策略及風險建模

1、西南交通大學碩士學位論文基于POOL模式的中長期電力合約交易策略及風險建模姓名：孫忠國申請學位級別：碩士專業(yè)：電力系統(tǒng)及其自動化指導教師：錢清泉20030501西南交通大攀碩士研究生學位論文第2頁AbstractTheworldwiderestructuringandderegulationofelectricpowerindUStryhasledtoanactiveelectricitymarketwithmuchmoreriskst

2、Omarketparticipantsthattheydidnothavetofaceduringtheregulatedera，Forwardcontractsandoptionalforwardcontractshavebecomeeffectivetoolsforriskmanagementandbilateraltransactioninelectricitymarkets。Riskmodellingofelectricforw

3、ardcontractsandstrategiesofelectriccontractstransactionunderpowermarketbasedonPOOLoperationaremainlystudiedinthispaper，Inprimarystageofelectricitymarket，theissueofhowtoassignthevolumeofelectricforwardcontractsforIPPinord

4、ertogaintheminimumriskandstableprofitswithconditionofelectriccontracts，whichcannotbefreelysoldorbought，isdiscussedfirstlyaftercomparingelectricitymarketdifferentstructuresThenitpresentsasolutiontooptimisevolumeofelectric

5、contractsunderconditionofcontractscanbesoldorboughtfreely，Purchaser’SstrategiesoftransactionineachspotschedulingunderthesameconditionisgivenAnumericalexamplebasedonMatlabshowsefficiencyoftheproposedapproach，Thethesisfocu

6、sesontheoreticalstudiesofriskmodellingofforwardcontractsinchapter5ThecaseofelectricityinourcountryisthattherearestillsomeareaswithpowermarketoligopolybylocalutilitiesandtheelectricpriceiSdeterminedbymarginalCOStofgenerat

7、ion，SOmodellingmarginalcostofpowergenerationuncertaintyinelectricityforwardcontractsbetweenIPPandutilitiesaswellasconsumersandutilitiesaredesignedThemethodofpricingwithoptionideasforinterruptibleelectricpowerisdiscussedb

8、etweenIPPsandutilitiesconsideringmaximizationprofitsofIPPastargetfunction。TheapproachisusedforanalysingbetweenconsumersandutilitiesThenmodellingconsumer’sdemanduncertaintyinelectricityforwardcontractsiSdevelopedAdetailed