Michael Hermann Schürle
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Schürle
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Michael Hermann
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michael.schuerle@unisg.ch
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+41 71 224 3055
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  • Publication
    Type: journal article
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/112478
  • Publication
    Type: journal article
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/100141
  • Publication
    A spot-forward model for electricity prices with regime shifts
    (Elsevier, 2015)
    Paraschiv, Florentina
    ;
    Fleten, Stein-Erik
    ;
    Schürle, Michael
    We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are derived given an observed price forward curve, and spikes may occur with a certain probability. To this end, we distinguish between a base regime and an upper as well as a lower spike regime. The model parameters are calibrated using the historical hourly price forward curves for EEX Phelix and the dynamics of hourly spot prices. We further evaluate different time series models such as ARMA and GARCH that are usually applied for modeling electricity prices and conclude a better performance of the proposed regime-switching model.
    Type: journal article
    Journal: Energy Economics
    Volume: 47
    DOI: 10.1016/j.eneco.2014.11.003
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/107388
    Scopus© Citations 44
  • Publication
    Management of non-maturing deposits by multistage stochastic programming
    (Elsevier, 2003-12-16)
    Frauendorfer, Karl
    ;
    Schürle, Michael
    The management of non-maturing account positions in a bank's balance like savings and sight deposits as well as certain types of variable-rate mortgages is complicated by the embedded options that its clients may exercise. In addition to the usual interest rate risk, uncertainty in the timing and amount of cash flows must be taken into account when investment or refinancing strategies are determined. This paper introduces a multistage stochastic programming model where the stochastic evolution of interest rates and volume under management is described by stochastic processes in discrete time. Scenarios are generated by means of barycentric approximation which is particularly useful to deal with the observed correlations between interest rates and volume. Practical experience from the application at a major Swiss bank is reported where the model has been employed since the mid-90s.
    Type: journal article
    Journal: European Journal of Operational Research (EJOR)
    Volume: 151
    Issue: 3
    DOI: 10.1016/S0377-2217(02)00626-4
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/69118
    Scopus© Citations 10
  • Publication
    Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation
    (Kluwer, 2000-12-01)
    Frauendorfer, Karl
    ;
    Schürle, Michael
    This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multi-factor term structure models are estimated based on historical data for the Swiss Franc. An analysis of the dynamic behavior of interest rates generated with these models reveals several deficiencies which have an impact on the performance of investment policies derived from the stochastic program. While barycentric approximation is used here for the generation of scenario trees, these insights may be generalized to other discretization techniques as well.
    Type: journal article
    Journal: Annals of Operations Research
    Volume: 100
    Issue: 1-4
    DOI: 10.1023/A:1019223318808
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/73775
    Scopus© Citations 6
  • Publication
    Optimization of hydro storage systems and indifference pricing of power contracts
    (University Press of Santiago de Compostela, 2016-06-15)
    Schürle, Michael
    ;
    Kovacevic, Raimund
    ;
    Paraschiv, Florentina
    ;
    Quintela, Peregrina
    In this paper, we aim at a mid-term planning model for hydropower production based on multistage stochastic optimization. We decide about a production schedule for a horizon of one year from the point of view of a producer that owns pumped-storage hydropower plants. These consist of large seasonal connected reservoirs. We consider stochastic inflows, stochastic electricity prices and stochastic loads. The optimization of hydropower production is based on multistage stochastic programming with an aggregation using price levels to overcome the curse of dimensionality. The produced electricity is sold at the spot market. In addition, we follow an indifference pricing approach for non-standard power contracts to determine the price at which the producer is willing to deliver electricity to individual consumers. The dynamics of electricity prices is described by a novel regime-switching approach where a base regime is distinguished from two spike regimes that reflect large price movements down- or upwards. A price is considered to be in one of the spike regimes if it is below or above some limit values which will be estimated simultaneously with the other model parameters. This allows for a more realistic fit to the data than the common approach in the literature where regime limits are set to three standard deviations. We analyze historical data for the inflows in each reservoir from an existing system in the Swiss Alps. The inflows in each reservoir will be simulated jointly based on two driving factors that are identified by principal component analysis. The generated scenarios will be aggregated to a scenario tree using scenario reduction techniques. In each node of the scenario tree we will have information about the possible price levels for electricity in the upcoming week and about the level of inflows. Based on this information, we decide about generating, pumping or overflows at different price levels. These decisions will be updated in weekly steps. Our objective is a mixture of expectation and average value of risk over the revenues at the end of the planning horizon of one year. In addition to the model for power dispatch optimization, we formulate a second multistage stochastic programming model to determine the price at which the producer is indifferent with respect to selling the produced electricity on the spot market or entering in individual power contracts. We take into account as well individual demand profiles of consumers. The indifference price is computed for different levels of risk aversion. To our knowledge, this is the first study in the literature which proposes indifference pricing for multiple contracts in the context of hydropower and it is of particular relevance for the risk management and production planning of power plants holders.
    Type: conference paper
    Journal: Cursos e Congresos
    Volume: Nr. 235
    DOI: 10.15304/cc.2016.968
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104220
  • Publication
    Dynamic Replication of Non-Maturing Assets and Liabilities
    (Springer, 2005-09-07)
    Schürle, Michael
    ;
    Haasis, Hans-Dietrich
    Non-maturing assets and liabilities (NoMALs) are those positions in a bank's balance that have no contractual maturity such as traditional savings deposits. For the calculation of transfer prices and the quantification of interest rate risk, a fix maturity profile must be assigned to a NoMAL position. Usually a replicating portfolio of fixed-income instruments with constant weights is determined from historical data whose cash flows match those of the underlying position. As an alternative, a multistage stochastic programming model is proposed where the replicating portfolio is derived from representative scenarios of the relevant risk factors (market rates, client rate, volume). Moreover, the portfolio composition is frequently readjusted using the current information about market rates and changes in volume. Compared to the traditional static method, practical experience shows that the margin of NoMALs can be significantly increased at reduced volatility by such a dynamic approach.
    Type: conference paper
    Journal: Operations research proceedings
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/84451
  • Publication
    A Stochastic Optimization Model for the Investment of Savings Account Deposits
    (Springer-Verlag, 1997-09-03)
    Forrest, Bruce
    ;
    Frauendorfer, Karl
    ;
    Schürle, Michael
    A bank's financial management faces various sources of uncertainty when funds from savings account deposits are invested in the marketplace. Future interest rates are unknown and customers are allowed to withdraw their deposits at any point in time. The objective is to find a portfolio of fixed income instruments that maximizes the bank's interest surplus from the investment of funds and to manage the prepayment risk inherent to non-maturing accounts. A multistage stochastic programming model is presented that takes into account the uncertain evolution of interest rates and volume. A case study based on interest rate data of a 7 years period indicates that the surplus can be increased by 25 basis points compared to the static approach formerly used, while volatility is reduced significantly.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/61640
  • Publication
    SG-Portfolio Test Problems for Stochastic Multistage Linear Programming
    (Springer-Verlag, 1995-09-13)
    Frauendorfer, Karl
    ;
    Härtel, Frank
    ;
    Reiff, Michael F.
    ;
    Schürle, Michael
    The solvability of dynamic decision problems suffers from the curse of dimensionality, which limits the planning horizon one can afford for mapping the real problem into a numerically solvable dynamic optimization model. In this note, stochastic multistage programming is applied to dynamic fixed-income portfolio selection. We report how well some fixed income portfolio problems are currently solved with barycentric approximation. In particular, we illustrate how the planning horizon affects the numerical effort required to solve the programs. The computational results serve as a benchmark for decomposition methods of mathematical programming.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/63095
  • Publication
    Type: book
    Issue: 279
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/61480