"Partial differential equation techniques for nergy contracts"
Speaker:
Tony Ware, University of Calgary
Date and Time:
Friday, March 1, 2002 - 2:15pm to 3:00pm
Location:
Fields Institute, Room 230
Abstract:
We consider the use of partial differential equation-based models for energy contracts. In particular, we describe a semi-Lagrangian finite-element method solving the equations that arise in the context of one- and two-factor models. We demonstrate the application of this method to the pricing of various types of swing options, and make use of the results to explore the properties of swing contracts.