【作者】 张楠楠；

【导师】 陈海涛；

【作者基本信息】 吉林大学 ， 管理科学与工程， 2009， 硕士

【摘要】 随着电力体制改革的深入实施,制定合理的电力价格已经成为我国电力工业改革的首要问题。我国电力工业近十年来的改革和发展已为电力市场营造了运作环境,并通过区域电力市场的建立初步构建了电力市场运行的平台,这为在我国开展电力交易创造了条件。东北区域电力市场作为全国第一个开展试点工作的区域电力市场,从它的建设和运行中我们可以清楚地看到,价格体系中的定价问题始终是重中之重。本文旨在以电价为中心,采取理论与实际相结合的方法,就发电环节中的电价制定及相关内容中存在的问题,结合东北电力市场建设的远期目标及改革的现状,对其进行研究,从而找到电力市场化下更为准确、更为灵活、更能合理反映市场经济因素的电价制定方法和规避价格波动风险的策略。本文的创新点如下:1.通过对东北电力市场电价的研究,对照布朗运动的相关理论,得出东北电力市场电力价格波动的特征,以便针对其自身特点寻找合适的定价方法;2.根据东北电力市场的改革现状及目标,针对完全开放的发电环节中电价的波动问题,引入东北电力定价模型,即将金融数学模型引入电力市场的电力定价问题中,并得到合理的价格;3.在保证社会利益的条件下,引入发电商的收益函数,运用远期合约与变异互换合约来确保发电商的收益。更多还原

【Abstract】 With the depth implementation of electricity reform, formulating a reasonable price of electricity has become the primary problem of China’s power industry reform. The reform and development of China’s power industry over the past decade has created an operating environment of the electricity market and built a platform for running the electricity market through the regional electricity market, which created conditions for electricity transaction in our country. As the country’s first pilot regional electricity market,we can clearly see from its construction and operation that the pricing electricity price is always the top priority issue of Northeast regional electricity market,according to its long-term construction objectives and the reform. This paper presents the electricity pricing model for Northeast electricity market and the strategy of hedging risk for price fluctuation.Firstly, this article introduces the status of the Northeast electricity market and the related theory, including Brownian motion and its properties. Brownian motion as a random process of a continuous-time parameter and continuous-state space, is a basic, easy and most important stochastic process. And it usually can be seen as a promotion of a sense. It is one of the most well know and the most colorful random process by far.About studying the price fluctuation of Northeast electricity market, we find that electricity price volatility is much higher than other commodity price, as the power should not be stored in large scale, supply and demand must balance in real time, as well as affect by supply and demand and generation capacity constraints, the spot price is almost entirely dependent on the real-time supply and demand, which resulting in electricity price soaring. Then we get the characteristics of price fluctuations by analyzing a large amount of data obtained: random, fluctuations, with a certain amount of revenue, and we proof that Northeast Electric price subjects to Brownian motion. Above all, we propose electricity pricing model, so that we can come up with a reasonable price of electricity.Because the electric power supply exceeds demand in Northeast area, the electricity price risk will be quite obvious, and we could not pricing electricity price exactly for there are so many things would be unable to predict, therefore we need to take the corresponding measure to hedge this kind of risk. This article introduces the concept of commodity exchange, and its substance is that: both sides of transaction agree to exchange cash flow related commodity price for hedging price risk. Here, cash flow in the actual commodity market and in the exchange trading market is relatively independent. Therefore, it is in fact able to be used in energy products such as electricity market. That to say, we will apply commodity exchange transaction to study two kind of situation how to make strategy: 1. Exchange contract between power plant and user; 2. Exchange contract between power plant and coal production enterprise.Then we carry on simulation by using the Monte-Carlo for the model, simulate the price in 2005 according to the electricity price in the year of 2004, and compare with the actual price of 2005’s, draw the following conclusion:1. According to analyzing the price getting from the model, which is fitting in a certain extent with actual electric power price, we can say that the model conform to forecast the electricity price for the Northeast electricity market;2. The result also means that the accuracy of forecasting model established in this paper; 3. The simulation result is deviation from actual price because of unpredictable factors external and internal of the occurrence, so that can be accepted.The innovations in this article are as follows:1. Through the research of electricity price in the Northeast electricity market, obtains its characteristic, in order to seek for the appropriate pricing method;2. According to the actually situation, establish pricing model which is stemming from the finance mathematical model and obtain the reasonable price;3. Utilization forward contract and commodity exchange contract guarantees the income of power plan. Although this article has carried on some beneficial explorations, there are also a lot of questions have to be further solved.1. There are still some factors have to be taken into account in the model, so it need improvement;2. The further study is the reason and the mechanism caused by electricity market risk, establish fixed price strategy conforms to our country electric power market.更多还原