Detailseite
Projekt
Efficient and reliable numerical methods for energy markets
Antragsteller
Professor Dr. Rüdiger Kiesel; Professor Dr. Karsten Urban
Fachliche Zuordnung
Mathematik
Förderung
Förderung von 2011 bis 2016
Projektkennung
Deutsche Forschungsgemeinschaft (DFG) - Projektnummer 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-Verfahren
Schwerpunktprogramme
