Project Details
Projekt
Efficient and reliable numerical methods for energy markets
Subject Area
Mathematics
Term
from 2011 to 2016
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 202899565
Within the last few years the markets for commodities, in particular energy-related commoditiesand electricity, have changed substantially. Due to deregulation, energy companies are now allowedto trade not only the commodity electricity, but also various derivatives on electricity on severalenergy exchanges such as the EEX. In addition, the introduction of a European Union wideemissions trading scheme (the EU-ETS) has introduced carbon related products. Within our project we will address two problems unique to the electricity market. Firstly, we will analyze swing options (which are unique to the energy-related markets): We will develop and analyze Reduced Basis Methods (RBM) to obtain efficient hedging portfolios in terms of forward contracts, which are actually traded on the market. Secondly, we will analyze CO2-permit prices for a multi-period trading scheme which allows banking of permits. Our modeling approach will lead to systems of PDEs which can be treated with the methodology developed in phase one of the current grant scheme.
DFG Programme
Priority Programmes
