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Forward contracts are one of the prevalent and useful tools for managing the risks associated with the volatility of the electricity market prices. Forward contracts and day-ahead electricity market are executed simultaneously, and hence, they affect each other. This paper proposes a comprehensive supply function equilibrium model to consider the mutual interactions between forward contracts and the associated day-ahead electricity market in a power system. Negotiation between each producer and consumer in forward market is taken into account in the model. In order to consider the risk management behaviors of all market players in the model, a new risk management method is presented. The proposed risk management method takes into account the concerns of market players about the future prices of day-ahead market over the delivery period. The model proposed in this paper is applied to a test system with forward and day-ahead markets. The results are compared with the case that there is no forward contract in the power system. Impacts of growing the concerns of producers and consumers about the future, impacts of increasing demand uncertainty, impacts of improving bargaining power of consumers in contracting period and impact of contracting obligations for producers on the simulation results are discussed. The proposed risk management method is compared with CVaR method and its efficiency is evaluated. Finally, applicability of the proposed model to real size power systems is examined.

In this paper, the impacts of strike and premium prices of put option contracts on put option and day-ahead electricity markets are studied. To this end, first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented. Interaction between put option and day-ahead markets, uncertainty in demand, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in this model. Then, a formula for computing strike prices at which producers and consumers are willing to trade put option is presented and a new method for put option pricing is proposed. By applying the presented model to a test system, the interaction between the put option and day-ahead markets is studied.

Utilization of renewable energy resources, especially wind power, for producing electric energy is growing fast in the world. Besides the environmental advantages, the variability, unpredictability, and uncontrollability of the wind turbines’ output power face the market players with different financial risks. Producers and consumers prefer to have a stable income in the power system and try to avoid the uncertainties and fluctuations in their profits. In this situation, forward contracts are used as efficient tools for helping the market players to hedge themselves against these risks. Since market players participate in both forward and day-ahead markets, their actions in each market affect the other market. So, day-ahead and forward markets affect each other. In this paper, the behavior of market players in the forward and day-ahead electricity markets in the presence of large-scale wind farms are studied. To this end, first, the contracting period is modeled considering different outcomes for the delivery period and then, the delivery period is modeled considering the contracting period outcomes. Equilibrium models are presented for each model. Both uniform and pay-as-bid pricing models for the day-ahead market are considered in the modeling procedure. A recently introduced risk management method called concern scenarios is upgraded and applied to model the risk management preferences of market players. Simulation results are presented, analyzed, and compared for models by applying them to a test system case study.