Calcolare VaR e CVaR per derivati energetici

ARGOMENTI: Convegni Dottorato

Mercoledi` 27 febbraio 2008 alle ore 15:00, in Aula 1BC/45

Giorgia CALLEGARO (borsista, Scuola Normale Sup. di Pisa)
"Calcolare VaR e CVaR per derivati energetici"

[Computing VaR and CVaR for energy derivatives]
The aim of the talk is to give an idea of the possible applications of mathematics to energy derivatives markets, when computing the risk related to an investment in such a market.
First of all we will introduce the notion of derivative asset, starting with an analysis of the basic cases of Call and Put options and arriving to the more complicated swing option case, that are all financial products generally traded on option markets all over the world, with an
"underlying" that can be anything, from foreign currencies to stocks, oranges, gas or timber.
We will explain how the underlying price dynamics are modeled in energy markets, in basic cases and we will present the problems of "pricing" a derivative and computing the risk related to an investment.
In particular, focusing on the gas market, we will explain how the fair price of swing options can be (numerically) computed, by applying the Dynamic Programming Principle and the vectorial quantization.
In the same setting, we will also obtain numerical estimates, by means of stochastic recursive algorithms of the Robbins-Monro type, for two different risk measures, namely the "Value at Risk" (VaR) and the "Conditional Value at Risk" (CVaR).
(Keywords: swing option, dynamic programming, quantization, risk measure, Robbins-Monro algorithms.)

Rif. int. C. Marastoni, T. Vargiolu

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