Castellan, Erick (2012) Energy Options : Quantization-Based Pricing PFE - Project Graduation, ENSTA.



This master thesis summarizes the 6-month internship period I spent at Total Gas and Power Limited (London). It consists in doing applied research on optimal quantization so as to comprehend the technique and to lay the foundation for later potential business applications. Recent developments showed that traditional quantization could successfully be applied for pricing energy supply contracts modeled as swing options. Besides, a new triangulation-based quantization method has been developed. This technique behaves promisingly on American options. These convinced the management of the Front Office Research team to implement these techniques. Both regular and dual quantizations are introduced in chapter 2. Chapter 3 focuses on handling the methods and comprehending better their applied behavior. Then, chapter 4 widens the scope of application to Markov chains. Details about the implementing is given in appendices A, and B. Appendix C contains some example of ad hoc support studies I have been assigned to. As an end-of-study internship report, chapter 5 is experience-oriented gathering my learnings.

Item Type:Thesis (PFE - Project Graduation)
Subjects:Mathematics and Applications
ID Code:6447
Deposited By:Sophie Chouaf
Deposited On:03 juill. 2013 11:14
Dernière modification:03 juill. 2013 11:14

Repository Staff Only: item control page