【作者】 蒋小元；

【导师】 赵会茹；

【作者基本信息】 华北电力大学（北京） ， 技术经济及管理， 2003， 硕士

【摘要】 为打破垄断，鼓励竞争，提高效率而进行的世界范围的电力工业结构重组和放松管制与再管制，在引导电力工业市场化运营的同时，也使得各个市场主体面临着前所未有的市场风险。由于各种原因，自从电力工业市场化运营以来，电力已成为价格最易变的一种商品。电力市场中电价的易变性使得各个市场参与者都面临巨大的利益损失风险，如果不加以有效的防范，将会导致灾难性的后果。充分发挥电力市场现货交易中价格的调节能力，有利于资源的合理配置。但与此同时，现货市场上的高风险却损害了电力市场的平稳运行。远期、期货和期权等金融衍生工具具有减少或转移风险的功能，可以在一定程度上避免现货市场中的风险。因此，在电力市场改革进程中运用这些金融衍生工具进行风险管理已日渐重要和日趋紧迫。本论文从电力生产尤其是电力交易的特点出发，运用微观经济学、金融学、随机数学和规划数学等原理和工具，结合电力生产和消费的实践，围绕金融衍生工具在电力市场交易中的应用问题展开了全面深入的研究。论文首先分析比较了电力交易的几种方式及其适用的环境，阐述了电力期货的功能和意义；简要介绍了电力期权和互换的概念与作用；重点研究运用金融衍生工具的理论分析远期合约、期货合约、可选择远期合约和差价合约等几种电力合约的规避或降低风险的机理、合约价格或敲定价格的设定及市场参与者对这些工具的响应和运用这些工具的策略。更多还原

【Abstract】 The worldwide restructuring and deregulation of electric power industry has led to an active electricity market with much more risk to market participants that they did not have to face during the regulated era .As effective tools for risk management and bilateral transaction, forward contracts or optional forward contracts, futures contract, option contract, have been widely used in competitive electricity markets, and in the future, swaps will also be used. So, to accelerate the electric industry healthily and orderly, systematic study of application of these financial derivative instrument to electricity power market exchange, which is the subject of this paper, is important and urgent.After introduction, three exchange modes of electricity market are compared in chapter 1. Chapter 2 reports a study of the use of forward contracts as risk sharing instruments for electricity industries operating under spot price, price setting and appropriate participant responses are discussed. Chapter 3 is concerned with electricity futures contract, the conception of electricity futures is introduced, the characteristics of electricity futures are detailedly discussed, the problems and difficulties in hedging with electricity futures are lucubrated, improved method is proposed. Chapter 4 briefly introduces the use of options and swaps in electricity market. Three type of option forward contract: interruptible, or callable, forward contract; its supply-side analogue, puttable contract; and their combination, bilateral optional electricity forward contract, are reported in chapter 5, these contracts allow market participants to take advantage of flexibility in generation or consumption to obtain a monetary benefit, while simultaneously removing the risk of market price fluctuations. In chapter 6 of this paper, various contracts for difference are discussed. The last part of this paper is conclusion and prospect.更多还原