Research Fields

Research Questions 

In the following we present some typical problems that we address in our institute:

Energy markets:  

  • How can one model short-term electricity markets (day-ahead and intraday)? 
  • Which models are best for risk management questions?
  • Can structural equilibrium models be used efficiently?
  • What is the fair value of complex derivatives such as swing options that allows the holder to sell power at some predetermined price on arbitrary dates (such an option mimics the behaviour of a hydroelectric power plant)?
  • How can one assess model risk in valuation of energy derivatives?

Climate finance:

  • What is an appropriate price for carbon emissions?
  • How can the risk of a carbon bubble in the financial system be quantified Optimal portfolios?
  • What is the structure of optimal portfolios under transaction costs?
  • How can one accommodate carbon risk in portfolios?

Financial methods in insurance:

  • What is the fair price of embedded options (surrender option, paid-up option, ...) in life insurance contracts?
  • How can the liabilities of a life-insurance companies be valued in a market-consistent yet efficient way (as required by Solvency II)?