Dr Boda Kang, University of York
The deregulation of the markets for various energy market-related commodities such as gas and electricity has created a new set of financial valuation problems for the management of the risk inherent in the sale, purchase, transportation and storage contracts involving such commodities. A major requirement of users of such contracts is to find an optimal solution to handle a portfolio of energy or commodity supply including swing contracts, gas pipelines, transportation deals and storage contracts to meet an uncertain gas and power demand. This project is going to build a realistic model incorporating many different features in a gas and power network and with the help of a rolling intrinsic approach, we are going to find a fast and accurate method computing the optimal take from the gas swing, storage and pipelines by allowing the market prices, gas and power demand to move stochastically.