A Case Study of the UK Energy Market

  • Jean-François Chassagneux
  • Hinesh Chotai
  • Mirabelle Muûls
Part of the Mathematics of Planet Earth book series (MPE)


In this chapter, we carry out a numerical investigation of the model introduced in Chap. 3. The processes and functions appearing in the pricing FBSDE will be chosen so that they model the features of the UK energy market. Their parameters will be estimated using real data. Following this, the pricing FBSDE will be solved numerically, along with a regularized version of the pricing FBSDE. We finally interpret the numerical results.


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Copyright information

© The Author(s) 2017

Authors and Affiliations

  • Jean-François Chassagneux
    • 1
  • Hinesh Chotai
    • 2
  • Mirabelle Muûls
    • 3
  1. 1.U.F.R. de MathématiquesUniversité Paris Diderot, LPMAParisFrance
  2. 2.Department of MathematicsImperial CollegeLondonUK
  3. 3.Grantham InstituteImperial CollegeLondonUK

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