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abstract:
In this talk we present a model for the forward dynamics in energy markets. As in interest rate modelling this leads to a first order hyperbolic stochastic partial differential equation. There is, however, in contrast to interest rate markets, evidence that the forward dynamics are driven by an infinite dimensional Levy process. We introduce a streamline diffusion method for the numerical approximation of the (pathwise) solution and a multilevel Monte Carlo method for the efficient approximation of moments of the solution. |
