Imperial College London
Emeritus Professor Colin Atkinson

Emeritus ProfessorColinAtkinson

Faculty of Natural Sciences, Department of Mathematics

Emeritus Professor
 
 
 
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Contact

 

+44 (0)20 7594 8497c.atkinson

 
 
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Location

 

671Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Safarov:2016:10.1080/00207160.2016.1168518,
author = {Safarov, N and Atkinson, C},
doi = {10.1080/00207160.2016.1168518},
journal = {International Journal of Computer Mathematics},
pages = {2147--2165},
title = {Natural gas storage valuation and optimization under time-inhomogeneous exponential L´evy processes.},
url = {http://dx.doi.org/10.1080/00207160.2016.1168518},
volume = {94},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We analyse a stochastic control problem for the valuation of a natural gas storage facility while takinginto account operating characteristics. The underlying natural gas spot price dynamics is assumedto follow a time-inhomogeneous exponential L´evy process [6]. This underlying incorporates commonfeatures of gas spot prices such as seasonality, mean-reversion and price spikes with seasonal jumpintensities. The corresponding HJB equation is the non-linear PIDE which is solved by an explicitfinite difference method. The numerical approach gives us both the value of the storage contract andoptimal 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 ofcontrol strategies and contract values.
AU  - Safarov,N
AU  - Atkinson,C
DO  - 10.1080/00207160.2016.1168518
EP  - 2165
PY  - 2016///
SN  - 1029-0265
SP  - 2147
TI  - Natural gas storage valuation and optimization under time-inhomogeneous exponential L´evy processes.
T2  - International Journal of Computer Mathematics
UR  - http://dx.doi.org/10.1080/00207160.2016.1168518
UR  - http://hdl.handle.net/10044/1/38631
VL  - 94
ER  -
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