Energy markets - risk management, optimal liquidation, and derivatives
Dissertation
Faculties
Fakultät für Mathematik und WirtschaftswissenschaftenAbstract
This thesis consists of three parts. Part 1 (Chapter 2) examines statistical properties of energy markets and the impact on risk management application. This is daily business for a utility company, and thereby a major research field. We extend recent studies and show how to describe the markets more accurately. Part 2 (Chapters 3 - 5) raises a question closely linked to the risk management issue from part 1. It examines how a multivariate portfolio can be liquidated optimally under various constraints and market setups. By focussing on the spread, this can be formulated as a single-asset liquidation problem with the advantage that the underlying dynamics can explicitly be described by Gaussian models, since negative spread prices are possible. Part 3 (Chapter 6) takes another party into consideration. There are firms and individuals outside the energy sector, which interact with these markets as well. We mean predominantly the heavy industry and private households, which consume electricity for their daily business/life. We show how to price electricity delivery contracts as this has not yet been addressed in the academic literature.
Date created
2011
Subject headings
[GND]: Energiemarkt | Risikomanagement[LCSH]: Commercial products | Hedging: Finance | Ornstein-Uhlenbeck process
[MeSH]: Risk management; Methods
[Free subject headings]: Backtesting | Bellman equation | Bermudan options | Commodities | Copulae | Energy markets | Konvex optimization | Least-squares Monte-Carlo | Optimal liquidation | Pricing structured derivatives | Retail electricity contracts | Value-at-risk
[DDC subject group]: DDC 510 / Mathematics
Metadata
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Please use this identifier to cite or link to this item: http://dx.doi.org/10.18725/OPARU-1798
Metka, Kevin (2011): Energy markets - risk management, optimal liquidation, and derivatives. Open Access Repositorium der Universität Ulm und Technischen Hochschule Ulm. Dissertation. http://dx.doi.org/10.18725/OPARU-1798
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