dc.contributor |
Centre de Recerca Matemàtica |
dc.contributor.author |
Cifuentes Rubiano, Julián |
dc.date.accessioned |
2013-02-01T09:37:44Z |
dc.date.available |
2013-02-01T09:37:44Z |
dc.date.created |
2012-11 |
dc.date.issued |
2012-11 |
dc.identifier.uri |
http://hdl.handle.net/2072/206198 |
dc.format.extent |
66 p. |
dc.language.iso |
eng |
dc.publisher |
Centre de Recerca Matemàtica |
dc.relation.ispartofseries |
Master Research Projects; |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.source |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
dc.subject.other |
Processos estocàstics |
dc.subject.other |
Estimació, Teoria de l' |
dc.subject.other |
Electricitat |
dc.title |
Stochastic optimal bid to electricity markets with environmental risk constraints |
dc.type |
info:eu-repo/semantics/masterThesis |
dc.subject.udc |
621.3 - Enginyeria elèctrica. Electrotècnia. Telecomunicacions |
dc.embargo.terms |
cap |
dc.description.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. |