Events Calendar
DSAS Department Meeting
April 25, 2019

PhD Thesis Proposal - Public Lecture - Behzad Ghafoui

Date:
Thursday, July 13, 2017
Time:
10:30 am
Location:
Western Science Centre (WSRC)
Room: 248
Cost:
Free

Title: Optimal Sale of a Storable Commodity via Forward Markets

Abstract: During contango oil markets, the offshore crude oil storage trade in which cheaper spot oil is purchased for higher forward sale is popular. The optimal sale of a commodity stored in a rental tanker over a finite horizon is studied. The possible trading strategies are studied via two different approaches. One method is Forward Dynamic Optimization, a heuristic approach, and the other one is based on Dynamic Programming framework, which leads to an optimal solution. At each time step, the quantity of inventory sold at the spot and the forward contract maturity for the remaining inventory are decided. Using the short/long-term Schwartz-Smith price model, the problem is formulated and analyzed as a Markov Decision problem. Approximate dynamic programming policies are investigated. The value of dynamic selling in the forward market and adaptively adjusting the forward maturities are compared to initial spot selling. The future work is proposed by relaxing some of the underlying assumptions and introducing additional flexibility, where incorporating a dynamically changing tanker rent is considered.

Supervisor: Matt Davison

Contact:
Erin Woolnough
ewoolno@uwo.ca
Event Type:


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