Disputas: Heidar Eyjolfsson

M.Sc. Heidar Eyjolfsson ved Matematisk institutt vil forsvare sin avhandling for graden ph.d.: Approximation Methods for Ambit Fields Applied to Power Markets

 

Heidar Eyjolfsson (foto: Geir Holm)

Tid og sted for prøveforelesning 

21. oktober 2013 kl. 10.15,  Aud. 1, Helga Engs hus.

Bedømmelseskomité

  • Professor Andreas Neuenkirch, University of Mannheim

  • Professor Arvid Næss, Norges teknisk-naturvitenskapelige universitet

  • Professor Giulia Di Nunno, University of Oslo

Leder av disputas

Instituttleder Arne Huseby, Matematisk institutt, Universitet i Oslo

Veiledere

  • Professor Fred Espen Benth, Matematisk institutt, Universitet i Oslo
  • Lecturer Almut Veraart, Imperial College London
  • Professor Ole Barndorff-Nielsen, Aarhus University

Sammendrag

In recent years electricity markets worldwide have been liberalized, meaning that markets where electricity and related commodities are traded have been established. For example the Scandinavian countries organize such a market and there is a similar one in Germany that serves central Europe.

These markets are different from traditional stock markets in that electricity can not be bought and held in a portfolio over time, it is in other words non-storable, which means that a traditional buy-and-hold hedging strategy is not possible.  As a result power prices exhibit some features, such as dramatic spikes of several magnitudes due to e.g. a sudden shortage followed by a quick mean reversion once the shortage is over, that are rarely present in traditional markets.

The current thesis discusses a class of analytically tractable stochastic models, called ambit fields, as a general modelling framework for power markets. In particular the focus is on numerical approximation methods that make the calculation of derivatives and other financial instruments easy and time efficient.  To that end mainly two tools are employed. Fourier inversion on the one hand, and numerical approximation of stochastic partial differential equations by means of a finite difference scheme on the other hand.

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Publisert 4. okt. 2013 15:40 - Sist endret 9. okt. 2013 16:29