Portfolio Management and Energy Options

The partner company, ENMAX Energy Corporation, is a leading electricity and natural gas supplier in Alberta. Modern techniques from stochastic processes and numerical analysis are widely used in energy risk management and trading. The intern research project involved the development of an optimal portfolio of products in the energy industry as well as the study of the pricing of new forms of contracts for energy products. In addition, stochastic dynamic programming techniques were applied to investigate optimal portfolios.

Faculty Supervisor:

Student:

Hong Miao

Partner:

ENMAX Energy Corporation

Discipline:

Finance

Sector:

Energy

University:

University of Calgary

Program:

Accelerate

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