The talk is designed to show an example problem that quantitative analysts work on in energy markets. We describe a popular contract in power markets - power plant tolling agreement. First we discuss how power plant constraints are reflected in the contract specification, what are the methods and challenges in pricing such contracts. Then we will review the contribution by BP's last year intern to techniques in accelerating this contract valuation.
Bio:
Sergey Kolos received his PhD in Computational and Applied Mathematics at The University of Texas at Austin in 2005. His mentor was Ehud Ronn and the dissertation topic was “Risk Management in Energy Markets”. Upon completion of the PhD program he started as a quantitative analyst in Citigroup’s Global Commodities unit where he developed various models for pricing and risk management of vanilla and complex energy contracts. In 2015 he joined BP as a senior quantitative analyst. His current research focus is developing algorithms for optimal hedging of complex energy contracts in illiquid markets.