电力金融市场综述

电力金融市场是电力现货市场发展的必然产物,它有利于发现电力真实的价格,促进电力市场公平竞争;并能为市场交易者提供风险管理工具,抑止现货电价飞升,有利于电力市场的稳定。电力金融市场的研究对于设计高效、合理的中国电力市场框架和电力交易机制有着重要的参考价值。文中在介绍各国电力金融市场的基础上对电力金融产品进行归类研究,包括电力期货和电力期权的分类。着重论述了电力金融市场的2个关键问题:电力期货的套期保值策略和电力期权的定价方法,推导了电力期货的动态和静态最优保值率公式和电力期权基于BlackScholes模型和MonteCarlo模拟的定价公式。通过对现有研究的分析和评论,最后提出了电力金融市场方面几个重要的研究领域。

Survey of Financial Markets for Electricity

With a well-functioning financial market for electricity, the optimum price path will be approached more closely and the fair competition in electricity market can be promoted. Furthermore, financial markets for electricity can provide the market participants with risk-management tools and smooth the volatility of the spot price. The study on the financial market for electricity is very important for establishing effective electricity market framework and trading mechanism. Based on the introduction of financial markets for electricity in different countries, the electricity derivatives are classified. Then electricity futures hedging and electricity options pricing are discussed, which are two key problems in financial markets for electricity. The static/time-varying optimal hedging ratio and electricity options pricing model based on Black-Scholes model/Monte Carlo simulation are deduced. Several interesting and important problems that need to be urgently studied in financial markets for electricity are proposed finally.