Applied Mathematics Techniques for Energy Markets in Transition

The world is witnessing a tremendous change in its energy supply mix, demand behavior and market dynamics. Pivotal developments include ambitious climate change and environmental policies, the progressive move to sustainable energy, the (at times sudden) abandonment of polluting electricity generation, the growing availability of liquefied natural gas and shale oil and gas. This all has a significant impact on the core business and risk exposures of energy companies, on commodity and energy prices, and also on the many financial energy derivative products traded. Changes in market mechanisms and products demand novel mathematical models, stochastic and deterministic, microscopic and macroscopic models, and changing pricing techniques, defining new research areas within the field of applied mathematics.
  • Applied Mathematics Techniques for Energy Markets in Transition
  • 2017-09-18T09:00:00+02:00
  • 2017-09-22T16:00:00+02:00
  • The world is witnessing a tremendous change in its energy supply mix, demand behavior and market dynamics. Pivotal developments include ambitious climate change and environmental policies, the progressive move to sustainable energy, the (at times sudden) abandonment of polluting electricity generation, the growing availability of liquefied natural gas and shale oil and gas. This all has a significant impact on the core business and risk exposures of energy companies, on commodity and energy prices, and also on the many financial energy derivative products traded. Changes in market mechanisms and products demand novel mathematical models, stochastic and deterministic, microscopic and macroscopic models, and changing pricing techniques, defining new research areas within the field of applied mathematics.
  • What Scientific Computing English
  • When Sep 18, 2017 09:00 AM to Sep 22, 2017 04:00 PM (Europe/Amsterdam / UTC200)
  • Where Lorentz Center, Niels Bohrweg 2, Leiden
  • Contact Name
  • Contact Phone 071 527 5542
  • Web Visit external website
  • Add event to calendar iCal

Scientific organizers:
Matthias Ehrhardt (Wuppertal, Germany)  
Karel In ’t Hout (Antwerp, Belgium)  
Cornelis Oosterlee (Amsterdam, The Netherlands)

 

Description and Aim

The world is witnessing a tremendous change in its energy supply mix, demand behavior and market dynamics. Pivotal developments include ambitious climate change and environmental policies, the progressive move to sustainable energy, the (at times sudden) abandonment of polluting electricity generation, the growing availability of liquefied natural gas and shale oil and gas. This all has a significant impact on the core business and risk exposures of energy companies, on commodity and energy prices, and also on the many financial energy derivative products traded. Changes in market mechanisms and products demand novel mathematical models, stochastic and deterministic, microscopic and macroscopic models, and changing pricing techniques, defining new research areas within the field of applied mathematics.

Energy markets present unique challenges given very specific, inherent features, like (practical) non-storability of electricity, seasonality trends and dramatic price spikes, complex (often embedded) financial derivative structures, and strong dependence on fundamental factors or political decision making. Furthermore, seasonal patterns exist in demand and across various exogenous and endogenous fundamental price drivers, e.g., fuel prices, emission prices, weather conditions, market coupling mechanisms. Finally, there are often strong regulations or subsidies by governmental authorities, driven by energy and climate control policies. All of these require specially tailored mathematical modelling and methods adapted to energy market applications, e.g., forward backward stochastic differential equations (FBSDEs), Monte Carlo (MC) methods, nonlinear partial (integro) differential equations (PDEs, PIDES), high-dimensionality, sparse grids, recombination techniques, agent-based models and mean field game models.

In this workshop we wish to focus on three relevant, contemporary mathematical themes to cover the different aspects. We envision ample, lively discussions between experts in the fields of applied mathematics, computer science (heuristic algorithms, big data and machine learning), as well as economics (the impact of a major transition). This makes our foreseen workshop highly interactive and a stimulating, challenging experience.