英文标题：
《A Forward Electricity Contract Price Projection: A Market Equilibrium
  Approach》
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作者：
Mateus A. Cavaliere, Sergio Granville, Gerson C. Oliveira, Mario V.F.
  Pereira
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最新提交年份：
2019
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英文摘要：
  This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each agent (generator/load/trader) optimizes a risk adjusted expected value of its revenue/cost. When uncertainties are represented by a discrete number of scenarios, a key result in the paper is that contract price corresponds to the dual variable of the equilibrium constraints in the linear programming problem associated to the optimization of total agents\' welfare. Besides computing an equilibrium contract price for a given year, the methodology can also be used to compute the evolution of the probability distribution associated to a contract price with a future delivery period; this an import issue in quantifying forward contract risks. Examples of the methodology application are presented and discussed
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中文摘要：
本文提出了一种基于市场均衡和社会福利优化的远期电力合同价格预测方法。在该方法中，远期合约的供求关系是以这样一种方式产生的，即每个代理（发电商/负荷商/交易者）优化其收入/成本的风险调整预期价值。当不确定性由离散数量的情景表示时，本文的一个关键结果是，合同价格对应于与总代理人福利优化相关的线性规划问题中均衡约束的对偶变量。除了计算给定年份的均衡合同价格外，该方法还可用于计算与未来交货期的合同价格相关的概率分布的演变；这是量化远期合同风险的一个重要问题。给出并讨论了该方法的应用实例
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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