经济管理学院学术前沿讲座
报告题目 | Valuation and Optimisation of Natural Gas Storage Facilities under Time-inhomogeneous Lévy Processes | ||
报告人（单位） | Prof. Colin Atkinson(University of Cambridge) | ||
点评人（单位） | 刘晓星教授 （东南大学） | 点评人（单位） | 尹威、朱冬梅博士 （东南大学） |
时间地点 | 2016年5月20日（周一下午2：00）东南大学九龙湖校区经济管理学院B-201会议室 | ||
报告内容摘要 | |||
We analyse a stochastic control problem for the valuation of a natural gas storage facility while taking into account operating characteristics. The underlying natural gas spot price dynamics is assumed to follow a time-inhomogeneous exponential Lévy process. This underlying incorporates common features of gas spot prices such as seasonality, mean-reversion and price spikes with seasonal jump intensities. The corresponding HJB equation is the nonlinear PIDE which is solved by an explicit finite difference method. The numerical approach gives us both the value of the storage contract and optimal operating strategy depending on the gas price, current level of gas in the storage and time. The effects of seasonality and seasonal jump intensity are investigated by observing the surfaces of control strategies and contract values.
| |||
报告人简介 | |||
Prof. Colin Atkinson is currently at University of Cambridge, who is a fellow of Royal Society. His research works mainly focus on Stochastic Optimal Control, Quantitative Finance and Stochastic Processes. He has published over 90 papers in peer-reviewed journals, such as SIAM Journal on Applied Mathematics, European Journal of Applied Mathematics, Applied Mathematical Finance and IMA Journal of Management Mathematics etc. | |||
