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Karl Frauendorfer
Title
Prof. Dr.
Last Name
Frauendorfer
First name
Karl
Email
karl.frauendorfer@unisg.ch
Phone
+41 71 224 2105
Now showing
1 - 10 of 12
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PublicationType: book section
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PublicationBarycentric Bounds in Stochastic Programming : Theory and Application(Springer Science+Business Media, LLC, 2011)
;Kuhn, DanielInfanger, GerdThe design and analysis of efficient approximation schemes is of fundamental importance in stochastic programming research. Bounding approximations are particularly popular for providing strict error bounds that can be made small by using partitioning techniques. In this article we develop a powerful bounding method for linear multistage stochastic programs with a generalized nonconvex dependence on the random parameters. Thereby, we establish bounds on the recourse functions as well as compact bounding sets for the optimal decisions. We further demonstrate that our bounding methods facilitate the reliable solution of important real-life decision problems. To this end, we solve a stochastic optimization model for the management of non-maturing accounts and compare the bounds on maximum profit obtained with different partitioning strategies.Type: book sectionIssue: 150Scopus© Citations 6 -
PublicationClean Valuation with Regard to EU Emission Trading(Springer, 2009)
;Kallrath, Josef ;Pardalos, Panos M. ;Rebennack, SteffenScheidt, MaxIn the electric power industry the observed increases of electricity price dynamics combined with the characteristic periodicity of related decision processes have motivated the use of multistage stochastic programming in recent years to provide flexible models for practical applications in the sector. Specifically in power generation and trading the planning process must obey highly complex interrelations between manifold influences. They range from short term price fluctuations as observed in spot markets to long term changes of fundamental influences. Not only changes in the electric supply system itself must be considered, but also the related availability and costs of required fuels. For example, the prices and usability of natural gas in power generation also depend on the existence of respective deployment and distribution systems. Furthermore the electric power sector is exposed to manifold regulatory uncertainties related to the rules imposed by the responsible authorities. Recently environmental issues have become very popular due to the ongoing discussion on climate change. In January 2005 the European Emissions Trading Scheme (EU ETS) has been launched which by many is considered a new key element in efficient electricity market operations. In this paper we will introduce a modeling framework that considers the influence of emission trading on portfolio problems in the electric power sector by applying clean valuation schemes that particularly take fuel costs, emission efficiency in combination with investment possibilities and generation flexibility into account. Sensitivity analysis is performed with respect to changes in technology, volatilities and price scenarios.Type: book section -
PublicationDynamic modelling and optimization of non-maturing accountsThe risk management of non-maturing account positions in a bank's balance like savings deposits or certain types of loans is complicated by the embedded options that clients may exercise. In addition to the usual interest rate risk, there is also uncertainty in the timing and amount of future cash flows. Since the corresponding volume risk cannot directly be hedged, the account must be replicated by a portfolio of instruments with explicit maturities. This paper introduces a multistage stochastic programming model that determines an optimal replicating portfolio from scenarios for future outcomes of the relevant risk factors: Market rates, client rates and volume of the non-maturing account. The weights for the allocation of new tranches are frequently adjusted to latest observations of the latter. A case study based on data of a real deposit position demonstrates that the resulting dynamic portfolio provides a significantly higher margin at lower risk compared to a static benchmark.Type: book section
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PublicationNumerical Techniques in Applied Multistage Stochastic Programming(Kluwer Academic Publishers, 2005)
;Dzemyda, G. ;Saltenis, V.Zilinskas, A. -
PublicationRefinancing Mortgages in SwitzerlandThis paper presents a multistage stochastic programming model for refinancing mortgages with non-contractual maturity under liquidity restrictions in the market. An extension to the management of other products such as savings accounts is straightforward. The evolution of interest rates is modelled by principal components for short-term and a two-factor mean reversion model with long rate and spread for long-term planning. Barycentric approximation provides tight lower and upper bounds for the original problem with relative discretization errors in the order of one per cent.
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PublicationManagement Science : Quantitative Methoden(Haupt, 2004)
;Schmid, OlivierWyss, Christina -
PublicationMultistage stochastic programming: Barycentric approximation(Kluwer Academic Publishers, 2001)
;Parkalos, P.Floudas, C. A.Type: book section -
PublicationStochastic linear programs with recourse and arbitrary multivariate distributions(Kluwer Academic Publishers, 2001)
;Parkalos, P.Floudas, C. A.Type: book section -
PublicationStochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts(Kluwer Academic Publishers, 2001)
;Ziemba, W.T.Mulvey, J.M.