A decision support procedure for the short-term scheduling problem of a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets

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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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