Investment in renewable electricity is essential to achieve EU climate neutrality by 2050. This energy transition requires deploying renewable technologies incorporating energy storage systems, such as Concentrated Solar Plants. We study the management of a concentrated solar power plant, including thermal storage, considering sales (purchases) in the spot and futures market and weather derivatives. The model is solved using stochastic programming and simulation for different scenarios. Moreover, we analyze, analytically and numerically, the utilization of options contracts (both calls and puts) based on solar radiation for quantity-risk management and how these interact with the operation of a storage system to reduce risk and increase profitability. We provide a case study for a Concentrated Solar Power Plant based in southern Spain. As significant managerial contributions, we have proved that: the value of put and call options depends on the time of the year (expected radiation); the radiation option prices are correlated with generation and storage levels and with the anticipated trading in spot and future markets. The higher the risk aversion, the more the generator sells in the futures market. Finally, electricity storage increases trading in futures and spot markets.

Program:

11:00 – 11:10 – opening speech

11:10 – 11:55 – presentation by Fernando Oliveira topic: “Risk Management using Weather Derivatives in a Concentrated Solar Power Plant with Thermal Storage”

11:55 – 12:25 – discussion

12:25 – 12:30 – Closing remarks: announcements of the next workshops

Fernando Oliveira is professor of Business Analytics and Sustainability and Head of Business Analytics, Circular Economy and Entrepreneurship Department at the University of Bradford School of Management. He holds a Ph.D. in Management Science and Operations from the London Business School, an MSc in Artificial Intelligence, and a Licenciatura in Economics from the University of Porto, Portugal. Before joining the University of Bradford, Fernando was Associate Professor in Operations Management and Analytics at the Auckland Business School and Professor at ESSEC business school. He has held several visiting positions, including visiting Professor of Operations Management and Analytics at the National University of Singapore and visiting researcher at Johns Hopkins. He has received two prizes for his publications, the Prix Académique SYNTEC, and the European Journal of Operational Research best paper award. His research has been published in top international journals, including Decision Sciences, Energy Economics, European Journal of Operational Research, Informs Journal on Computing, International Journal of Production Economics, Omega, and Operations Research. He is on the International Journal of Data Science editorial board, the International Journal of Business Analytics area editor, and the associate editor of Energy Systems. His teaching and research interests are in applications of artificial intelligence to managerial problems in supply chain management and, more specifically, healthcare, energy markets, and quantitative risk management.