PD Dr. John Schoenmakers

PI ECMath project SE7 and SE22

Weierstrass Institut
Mohrenstrasse 39
10117 Berlin
+49 (0) 30 20372565
schoenma@wias-berlin.de


Research focus

Stochastic numerics
Stochastic control
Modeling in financial and energy markets

Projects as a project leader

  • SE7

    Optimizing strategies in energy and storage markets

    PD Dr. John Schoenmakers / Prof. Dr. Vladimir Spokoiny

    Project heads: PD Dr. John Schoenmakers / Prof. Dr. Vladimir Spokoiny
    Project members: Roland Hildebrand
    Duration: -
    Status: running
    Located at: Weierstraß-Institut

    Description

    The project aims at developing numerical methods for the solution of complex optimal control problems arising in energy production, storage, and trading on energy markets. As a first step, we implement a Monte-Carlo approach to a hydro-electricity production and storage problem coupled with a stochastic model of the electricity market. Further we develop algorithms for pricing of complex energy derivatives based on the dual martingale approach.

    http://www.wias-berlin.de/projects/ECMath-SE7/