About Us

Since 2019, Matheon's application-oriented mathematical research activities are being continued in the framework of the Cluster of Excellence MATH+
www.mathplus.de
The Matheon websites will not be updated anymore.

Roland Hildebrand

roland.hildebrand@wias-berlin.de

Projects as a member

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: completed
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/

Projects as a guest