Imperial College London
Emeritus Professor Colin Atkinson

Emeritus ProfessorColinAtkinson

Faculty of Natural Sciences, Department of Mathematics

Emeritus Professor
 
 
 
//

Contact

 

+44 (0)20 7594 8497c.atkinson

 
 
//

Location

 

671Huxley BuildingSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Safarov:2017:10.1142/S0219024917500042,
author = {Safarov, N and Atkinson, C},
doi = {10.1142/S0219024917500042},
journal = {International Journal of Theoretical and Applied Finance},
title = {Natural gas-fired power plants valuation and optimization under levy copulas and regime switching},
url = {http://dx.doi.org/10.1142/S0219024917500042},
volume = {20},
year = {2017}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - In this work, we analyze a stochastic control problem for the valuation of a natural gas power station while taking into account operating characteristics. Both electricity and gas spot price processes exhibit mean-reverting spikes and Markov regime-switches. The Lévy regime-switching model incorporates the effects of demand-supply fluctuations in energy markets and abrupt economic disruptions or business cycles. We make use of skewed Lévy copulas to model the dependence risk of electricity and gas jumps. The corresponding coupled Hamilton–Jacobi–Bellman (HJB) equations are solved by an explicit finite difference method. The numerical approach gives us both the value of the plant and its optimal operating strategy depending on the gas and electricity prices, current temperature of the boiler and time. The surfaces of control strategies and contract values are obtained by implementing the numerical method for a particular example.
AU  - Safarov,N
AU  - Atkinson,C
DO  - 10.1142/S0219024917500042
PY  - 2017///
SN  - 0219-0249
TI  - Natural gas-fired power plants valuation and optimization under levy copulas and regime switching
T2  - International Journal of Theoretical and Applied Finance
UR  - http://dx.doi.org/10.1142/S0219024917500042
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000395370500004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - http://hdl.handle.net/10044/1/64444
VL  - 20
ER  -
Download