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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: American Call Options for Power System Balancing

Presented by John Moriarty, University of Manchester

26 January 2015 14:00 in CM221

We study the problem of offering American call options on electricity with immediate physical delivery for real-time balancing of a power system. This involves timing the purchase of electricity to physically cover the contract and valuing the call option itself. The real-time price is assumed to be the composition of a price stack function with a stochastic process modelling physical imbalance in an electrical power system. We apply methods of optimal stopping and obtain explicit solutions for the stopping regions and value functions. As a result we are able to characterise when such options are sustainable for the market and to provide optimal operational strategies for the option writer. Joint work with Jan Palczewski (Leeds).

Contact sunil.chhita@durham.ac.uk for more information