Max Fehr

Personal Data

M.W.Fehr(at)lse.ac.uk
Centre for the Analysis of Time Series / Grantham Institute on Climate Change
London School of Economics

Research interests

• Emission Trading:
  Market design
  EUA/CER price modeling
• Futures price models for storable/non-storable commodities
• Convex analysis in infinite dimensional spaces
• Numerical methods for stochastic control problems
• Electricity markets:
  Spot price modeling
  Plant scheduling
  Load simulation
  Auction of transmission capacities
  Simulation of plant outages
• Hidden markov models

Curriculum Vitae

You can download my CV in pdf format.

Publications and Preprints

• Carmona R., Fehr M., Hinz J., Porchet A. "Market Design for Emission Trading Schemes." Siam Review , 52(3):403-452
• Carmona R., Fehr M., Hinz J. (2009): "Optimal Stochastic Control and Carbon Price Formation." Siam Journal on Control and Optimization, 48(4):2168-2190.
  Download: URL
• Fehr M., Hinz J. "Storage Costs in Commodity Option Pricing." Submitted.
• Carmona R., Fehr M. "The Clean Development Mechanism and Joint Price Formation for Allowances and CERs." Seminar on Stochastic Analysis, Random Fields and Applications VI, Progress in Probability, Vol. 63, Birkhäuser.
• Doege J., Fehr M., Hinz J., Lüthi H., Wilhelm M.: (2009): "Risk Management in Power Markets: The Hedging Value of Production Flexibility." European Journal of Operational Research, 199(3):936-943.
• Carmona R., Fehr M., Hinz J. "Properly Designed Emission Trading Schemes Do Work!" Submitted.
• Carmona R., Fehr M. "Auctions and Relative Allocation Mechanisms for Cap-and-Trade Schemes." Submitted.
• Doege J., Fehr M., Hinz J., Lüthi H., Wilhelm M. "On Value of Flexibility in Energy Risk Management. Concepts, Models, Solutions." Operations Research Proceedings 2006, Springer.
• M. Fehr "Market Design for Emission Trading Schemes." Diss. ETH No. 18634
  Download: PDF

Student Projects

• Master Thesis: "Dynamic Electricity Market Equilibria: Strategic Bidding and Production Constraints", Alexander Rudyk.
• Term Project: "Cross-Border Trading and Congestion Management", Felix Rubin.
• Term Project: "Allowance price formation in the European Emission Trading System", Enrico Berkes
• Term Project: "Modellierung, Analyse und optimale Gestaltung von Serviceleistungen für Gasturbinenbetreibung", Robert König
• Term Project: "Social Costs of Environmental Trading Schemes", Brigitte Häfliger

Teaching

Tutorial assistance:

• Convex optimization
• Optimization Techniques

Derivatives Calculator

The Derivatives Calculator is a free HJM-based tool, which for several energy related commodities (e.g. gas, oil,electricity), given todays futures curve, computes arbitrage free prices of caps, floors, collars, calendar spreads, put and call options.

• Start Derivatives Calculator