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Mathematical modeling of the dynamics of oil and gas markets prices in the context of investment analysis
Economics and management in fuel and energy complex industries

Authors: Sergey U. ZHOLKOV was born in 1952. He graduated from the M.V. Lomonosov Moscow State University specializing in “Higher geometry and topology” in 1974. He is Candidate of Physical and Mathematical Sciences, Associate Professor, Senior Researcher, Professor of the Department of Applied Mathematics and Computer Modeling at Gubkin Russian State University of Oil and Gas. He is Member of the Moscow Mathematical Society, author of over 50 publications in the Russian and English languages. He was awarded a diploma and a commendation of the Ministry of Education of the Russian Federation. E-mail: sergei_jolkov@mail.ru
Arseny A. KORSHUNOV graduated from Gubkin Russian State University of Oil and Gas in 2010. He is Ph.D. student at the Department of Applied Mathematics and Computer Modeling. He has five scientific publications. E-mail: aakorshunov@tnk-bp.com

Abstract: The problem of constructing an adequate model of the dynamics of prices of oil and gas markets in the context of investment analysis is solved. Stochastic costs of an investment project due to contingences or uncertainty are studied using the stochastic theory of portfolio management – a method proposed in a series of publications of American economists in 1973–79 and 1998–2000, now considered «classic». To define «adequacy», both quantitative and qualitative, features of adequacy and acceptable range of values were found. An adequate adaptive model was constructed. A steady deviation from the real model of price changes of 6,26–10,77% for prices and 1,535–3% for the logarithmic prices respectively is achieved.

Index UDK: 519.86

Keywords: dynamics of prices of oil and gas markets, adequate mathematical model, investment analysis, stochastic financial analysis, adequate adaptive model

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