Tid: 21 mars 2011 kl 10.15-11.00.Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, pan 7. Karta!
Föredragshållare: Luc Goutermanoff
Titel: Establishment of a volatility pattern on the electricity market. (Examensarbete - Master thesis)
Abstract This thesis deals with the modelling of the electricity price dynamics on the market. The main goal of my department is to optimize the balance between supply and demand and to maximize the potential profit between production and commercialisation. This optimization depends on the evolution of the electricity market and it is necessary to build up a consistent approach to the electricity forward prices. Currently, a standard model is calibrated and used to simulate the different electricity forward prices. This model allows to take into account the short term volatility (next few days) along with the long term volatility (about 1 year) of the prices found on the market.
First, I analyzed the current price dynamics in order to measure its qualities and limits. Then, I focused on some new models that try to correct its weakness. In order to validate the accuracy of these new models, I worked on a methodology using hedging.
|Sidansvarig: Filip Lindskog