Advanced methods for American style options and Power plants valuation

Thursday, May 17, 2012 - 3:30pm - 4:15pm
Keller 3-180
Nadia Oudjane (Electricite de France (EDF))
In presence of market prices, energy utilities have to evaluate and hedge the
impact of energy prices fluctuations on their Profit and Loss. This requires, in particular,
to develop efficient computational methods to price, optimize and hedge physical assets
(such as thermal power plants). Mathematically, the problem of pricing a thermal asset
can be stated in terms of a stochastic control problem and can be reduced in a
very specific case to the thoroughly studied optimal stopping problem or American option
pricing. We present some original variance reduction techniques for American option pricing
and thermal power plants valuation.
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