Efficient and reliable numerical methods for energy markets

能源市场高效可靠的数值方法

• 批准号: 202899565
• 负责人: Professor Dr. Rüdiger Kiesel
• 金额: --
• 依托单位: Institut für Numerische Mathematik
• 依托单位国家: 德国
• 项目类别: Priority Programmes
• 财政年份: 2011
• 资助国家: 德国
• 起止时间: 2010-12-31 至 2015-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/202899565?language=en
• 关键词: Efficient; reliable; numerical; methods; energy

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.

在过去几年中，初级商品市场，特别是与能源有关的初级商品和电力市场发生了巨大变化。由于放松管制，能源公司现在不仅可以交易商品电力，还可以在几个能源交易所（如EEX）交易各种电力衍生品。此外，欧洲联盟广泛的排放交易计划（EU-ETS）的推出也引入了与碳有关的产品。在我们的项目中，我们将解决电力市场特有的两个问题。首先，我们将分析摆动期权（这是能源相关市场所特有的）：我们将开发和分析缩减基差方法（RBM），以获得在市场上实际交易的远期合约的有效对冲组合。其次，我们将分析二氧化碳许可证价格的多期交易计划，允许银行的许可证。我们的建模方法将导致系统的偏微分方程，可以与目前的赠款计划的第一阶段开发的方法来对待。