SIMOPT/ENERGY

 
 
Contact:Christian Redl
 
Begin:
Sep 2005
Duration:
24 months
Status:
finished
 
 
Homepage: www.univie.ac.at/crm/simopt
 
 
 
Further Project information:
PDF File
(72 kb)
 
This project aims at developing mathematical methods for optimal risk management for energy producers and traders in liberalized energy markets. The deregulation of energy markets results in an increased need for methods of short and medium term decision making under the uncertainty of future demands, costs, prices and capacities. In an integrated view, production decisions as well as risk hedging decisions will be modelled simultaneously. Modern hedging instruments like forwards, swaps and options can be used in an optimal mix of risk management tools to avoid high volatilities and financial disaster. The mathematics behind the optimal decision making under uncertainty involves new methods of multi period stochastic optimisation and combined simulation / optimisation algorithms.
 
last update: 2007-10-17

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