Quantitative modelling of energy risk

能源风险的定量建模

• 批准号: RGPIN-2018-05145
• 负责人: Ware, Antony
• 金额: $ 3.35万
• 依托单位: University of Calgary
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=759164
• 关键词: Quantitative; modelling; energy; risk

The aim of the proposed research programme is to develop tools - mathematical models and computational techniques - for energy risk management.Energy is vital to our existence and modern way of life. The efficient production and use of energy, the development of new energy sources, and responsible management of the resources available to us now are critical for our future. These objectives are impossible without properly functioning markets, sending signals about the costs and scarcity of various commodities and other resources to both end users and producers.Energy commodity and environmental markets differ in fundamental ways from markets for other asset classes. In recent years, this difference has made them attractive to institutional and retail investors seeking diversification, but it also means that these markets pose major challenges for mathematical finance and quantitative risk management. This research aims to help to meet some of those challenges by developing models that are able to capture the nature of the uncertainty and risk that arises from the types of extreme movements and correlations we see in energy markets, using polynomial maps of polynomial processes to represent prices. The class of polynomial processes is already rich, but the combination with polynomial maps greatly enriches the range of dynamics that such models can produce. At the same time, this combination ensures that futures prices can always be computed extremely easily. The ability to combine such dynamic richness with mathematical tractability opens up many potential applications in energy risk management; this research programme aims to unlock that potential.

拟议研究方案的目的是开发能源风险管理的工具-数学模型和计算技术。能源对我们的生存和现代生活方式至关重要。能源的高效生产和利用、新能源的开发以及对我们现在可用资源的负责任管理对我们的未来至关重要。如果市场不能正常运作，向最终用户和生产者发出关于各种商品和其他资源的成本和稀缺性的信号，这些目标就不可能实现。近年来，这种差异使它们对寻求多样化的机构和散户投资者具有吸引力，但这也意味着这些市场对数学金融和定量风险管理构成了重大挑战。这项研究旨在通过开发能够捕捉我们在能源市场中看到的极端运动和相关性所产生的不确定性和风险的性质的模型来帮助应对其中一些挑战，使用多项式过程的多项式映射来表示价格。多项式过程的种类已经很丰富了，但是与多项式映射的结合极大地丰富了这种模型可以产生的动态范围。同时，这种组合确保了期货价格总是可以非常容易地计算出来。联合收割机这种动态的丰富性与数学的易处理性相结合的能力，开辟了许多潜在的应用在能源风险管理，这项研究计划的目的是释放这种潜力。