Event Detail

Event Type: 
Department Colloquium
Date/Time: 
Tuesday, March 7, 2006 - 07:00
Location: 
Dearborn 118

Speaker Info

Institution: 
North Carolina State Univ.
Abstract: 

This talk is sponsored by the Department of Mathematics and The Mathematics and Statistics of Finance, Insurance and Resource Economics Colloquium Series.

 Energy markets around the world have undergone rapid deregulation in the past decade and the trend appears to be continuing.  This deregulation has naturally led to increased levels of volatility in the price of electricity, and hence a need to reduce exposure to risk for participants in the market.  To do this, we need to know how to price derivatives in the electricity market.  We will discuss, in a probabilistic framework, the issues in this market, and show how existing ideas can be used to deal with some of the more complicated issues.  Special attention will be given to the “swing“ option which is particular to energy markets.