IMA Complex Systems Seminar

1:30, Thursday, April 29, 2004            



Energy Trading: Mathematical Challenges


Rene Carmona

Department of Operations Research & Financial Engineering
Princeton University
Princeton, NJ 08544-5263




The first half of the talk will review some of the fundamental problems facing the industry: reliable forward curve constructors, real options and asset valuation, credit ratings and liquidity issues.  The second part will concentrate on the mathematics of two very specific problems for which simple models can be proposed: temperature options and swing options (i.e. options with multiple exercises of the American type). We will discuss recent results and some of the remaining challenges.