Please circulate among whoever is interested.

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Research grant on the topic

"Capacity markets and the definition of the value of Reliability Options"

to be performed at the Department of Mathematics under the supervision of Prof. Tiziano Vargiolu (as the scientific responsible).

- duration: 24 month;

- topic:

In energy markets, it is of particular interest the problem of a fair evaluation of Reliability Options (RO), namely, physical call options derived on electricity, issued by generators and acquired by a subject to hedge adequacy risk of power generation. The aim of this grant is to define a fair pricing of RO, which requires techniques which go beyond those classically used in financial markets to price and hedge derivative assets.

- call for grant:

http://www.math.unipd.it/it/news/?id=1875

The English version is at the bottom (3 downloadable files) (please keep in mind that, in case of disputes, the announcement in ITALIAN is the official one).

- deadline: July 11, 2016.

For further information, please contact Tiziano Vargiolu (vargiolu@math.unipd.it).

Please circulate Tiziano

-------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu@math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------