Authors:
- The first of a number of new, cuttingedge references for the risk and pricing methodologies for the energy sector
- Written by an author team with academic and industry experience, bringing together industry application and experience with rigour and innovation
- Presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets
Part of the book series: Applied Quantitative Finance (AQF)
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Table of contents (8 chapters)
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Front Matter
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Back Matter
About this book
Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions.
This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals withgeneral optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice.
Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.
Reviews
- Domenico De Luca, CEO, Axpo Trading and Member of Executive Board Axpo Group
'Optimization methods play an important role when making decisions and managing risk in today's liberalized energy markets. When planning a power plant or entering a structured gas contract, stochastic control is the key mathematical tool to assess the inherent risk. The authors of this book present an excellent account of the problems and methods for optimization in energy and power markets. The scope ranges from a rigorous theoretical analysis of the control problems, through numerical methods and to in-depth discussions of relevant practical case studies. This book is unique in providing a solid mathematical analysis of various optimization problems, yet never losing the market practice out of sight. It will be an invaluable reference for both academics and practitioners in power and gas markets.'
- Fred Espen Benth, Professor of Mathematical Finance at the University of Oslo, Department of Mathematics and Deputy Manager Energy markets are extremely competitive markets. Optimization of business decisions is fundamental for performance maximization. This book represents an excellent synthesis of optimization theory and practice applied to a wide and significant range of cutting-edge business problems characterizing power and natural gas markets.'
- Domenico De Luca, CEO, Axpo Trading and Member of Executive Board Axpo Group
'Optimization methods play an important role when making decisions and managing risk in today's liberalized energy markets. When planning a power plant or entering a structured gas contract, stochastic control is the key mathematical tool to assess the inherent risk. The authors of this book present an excellent account of the problems and methods for optimization in energy and power markets. The scope ranges from a rigorous theoretical analysis of the control problems, through numerical methods and to in-depth discussions of relevant practical case studies. This book is unique in providing a solid mathematical analysis of various optimization problems, yet never losing the market practice out of sight. It will be an invaluable reference for both academics and practitioners in power and gas markets.'
- Fred Espen Benth, Professor of Mathematical Finance at the University of Oslo, Department of Mathematics and Deputy Manager
Authors and Affiliations
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Phinergy, Italy
Enrico Edoli, Stefano Fiorenzani
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University of Padua, Italy
Tiziano Vargiolu
About the authors
Stefano Fiorenzani is a recognized expert in Energy Trading and Risk Management, with a career spanning numerous top European energy companies and financial institutions. He has published several scientific and business articles and three books on advanced methods in the energy finance area. Stefano is Founder and Chairman of Phinergy. He holds a degree in Economic Science, a Master of Science in Financial Economics and a PhD in Mathematical Finance.
Tiziano Vargiolu is Associate Professor of Probability and Statistics at the Department of Mathematics of the University of Padua, Italy, since 1998. There, he has taught courses on Probability, Statistics and Quantitative Finance at undergraduate, master's and PhD level, and directed PhD and master's theses in Financial Mathematics. His research interests span a wide range of topics including stochastic optimal control, pricing of contingent claims, portfolio optimization, interest rates models, credit risk and energy markets.
Bibliographic Information
Book Title: Optimization Methods for Gas and Power Markets
Book Subtitle: Theory and Cases
Authors: Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137412973
Publisher: Palgrave Macmillan London
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2016
Hardcover ISBN: 978-1-137-41296-6Published: 15 January 2016
eBook ISBN: 978-1-137-41297-3Published: 30 April 2016
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: XVII, 192
Topics: Econometrics, Energy Policy, Economics and Management, Business Mathematics, Finance, general, Science, Humanities and Social Sciences, multidisciplinary