Optimization Methods for Gas and Power Markets ― Theory and Cases

As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain: investments selection, asset optimization and trading and sales.

This book presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical underpinnings and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions - all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investments valuation/diversification, to asset (gas and power) optimization/hedging problems, to pure trading decisions.

This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

Stefano Fiorenzani is a recognized expert in Energy Trading & Risk Management, with a career spanning numerous top European energy companies and financial institutions. He has published several scientific and business articles and three books on advanced methods in the Energy Finance area, and lectures in Masters and Postgraduate courses in various European universities. Stefano is founder and director of Aleph, a consulting firm specialized in the area of Energy Trading, Portfolio Optimization and Risk Management. He holds a degree in Economic Science from the University of Florence in Italy, a Master of Science in Financial Economics from the University of Wales in Cardiff and a PhD in Mathematical Finance from the University of Brescia, Italy.

Enrico Edoli, is a Senior Quantitative Analyst at Aleph Energy Consulting, Italy. He began his career in 2009 focusing on energy markets. Enrico has a degree in Mathematics from the University of Padua, Italy, and is writing his PhD thesis at the same faculty focusing on quantitative topics related to energy markets.

Tiziano Vargiolu is Associate Professor of Mathematics University of Padua, Italy. His research interests are mainly stochastic optimal control - both in discrete and in continuous time - and stochastic processes with memory, with application to market and credit risk.