The aim of this Faraday Partnership project is to determine and solve suitable models for the pricing of energy derivatives. Asymptotic models for spot and forward curves will be based on daily and weekly periodicities; structured derivatives will be analysed and numerical solutions will be sought. The main application is in the pricing of swing options.

Project staff and support

Tino Kluge (Postgraduate Faraday Associate, University of Oxford)
Sam Howison (Academic supervisor, University of Oxford)
David Allwright (Technology Translator, Smith Institute)

This project is being carried out at the University of Oxford, in conjunction with KW International. It is supported by an EPSRC Industrial CASE award, made available through the Faraday Partnership for Industrial Mathematics. Start date: October 2002; duration: 3 years.