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Synopsis
The objective of this thesis is a precise mathematical description of energy-related commodity futures markets with respect to risk management and derivative pricing. First, we provide a rigorous multivariate statistical analysis of important commodity futures prices including electricity, oil, coal, gas and CO2 emission allowances based on generalized hyperbolic distributions. We show how a straightforward calculation of expected shortfalls based on such distributions is possible and that the view on risks of energy portfolios is more realistic compared to Normal distributions. We are also able to show that the introduction of CO2 certificates can be used for risk reduction. Further, we build stochastic term-structure models for the electricity futures market based on a no-arbitrage theory stemming from delivery periods in the futures contracts. We discuss the performance of the model in the German electricity market based on Brownian motions and more general Lévy process. Moreover, we introduce pricing algorithms for options on electricity futures based on the above mentioned distributions and asses their performance.
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About the Author
Reik H. Börger studied Mathematics and Business and holds an MSc from Syracuse University (NY) as well as a Phd from Ulm University. He gained experience in the modelling of commodity markets during his time at EnBW Trading GmbH. The author's research won several awards from academia and industry.
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Energy-Related Commodity Futures
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VDM Verlag Dr. Müller, 2010
ISBN 10: 3836489686
ISBN 13: 9783836489683
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Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Boerger Reik H.Reik H. Boerger studied Mathematics and Business and holds an MSc from Syracuse University (NY) as well as a Phd from Ulm University. He gained experience in the modelling of commodity markets during his time at EnBW Tra. Seller Inventory # 5389257
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Energy-Related Commodity Futures
Published by
VDM Verlag Dr. Müller E.K. Dez 2012, 2012
ISBN 10: 3836489686
ISBN 13: 9783836489683
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The objective of this thesis is a precise mathematical description of energy-related commodity futures markets with respect to risk management and derivative pricing. First, we provide a rigorous multivariate statistical analysis of important commodity futures prices including electricity, oil, coal, gas and CO2 emission allowances based on generalized hyperbolic distributions. We show how a straightforward calculation of expected shortfalls based on such distributions is possible and that the view on risks of energy portfolios is more realistic compared to Normal distributions. We are also able to show that the introduction of CO2 certificates can be used for risk reduction. Further, we build stochastic term-structure models for the electricity futures market based on a no-arbitrage theory stemming from delivery periods in the futures contracts. We discuss the performance of the model in the German electricity market based on Brownian motions and more general Lévy process. Moreover, we introduce pricing algorithms for options on electricity futures based on the above mentioned distributions and asses their performance. 184 pp. Englisch. Seller Inventory # 9783836489683
Quantity: 2 available
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Energy-Related Commodity Futures : Statistics, Models and Derivatives
Published by
VDM Verlag Dr. Müller E.K., 2010
ISBN 10: 3836489686
ISBN 13: 9783836489683
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The objective of this thesis is a precise mathematical description of energy-related commodity futures markets with respect to risk management and derivative pricing. First, we provide a rigorous multivariate statistical analysis of important commodity futures prices including electricity, oil, coal, gas and CO2 emission allowances based on generalized hyperbolic distributions. We show how a straightforward calculation of expected shortfalls based on such distributions is possible and that the view on risks of energy portfolios is more realistic compared to Normal distributions. We are also able to show that the introduction of CO2 certificates can be used for risk reduction. Further, we build stochastic term-structure models for the electricity futures market based on a no-arbitrage theory stemming from delivery periods in the futures contracts. We discuss the performance of the model in the German electricity market based on Brownian motions and more general Lévy process. Moreover, we introduce pricing algorithms for options on electricity futures based on the above mentioned distributions and asses their performance. Seller Inventory # 9783836489683
Quantity: 1 available
Seller Image
Energy-Related Commodity Futures
Published by
VDM Verlag Dr. Müller E.K. Dez 2012, 2012
ISBN 10: 3836489686
ISBN 13: 9783836489683
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Neuware -The objective of this thesis is a precise mathematical description of energy-related commodity futures markets with respect to risk management and derivative pricing. First, we provide a rigorous multivariate statistical analysis of important commodity futures prices including electricity, oil, coal, gas and CO2 emission allowances based on generalized hyperbolic distributions. We show how a straightforward calculation of expected shortfalls based on such distributions is possible and that the view on risks of energy portfolios is more realistic compared to Normal distributions. We are also able to show that the introduction of CO2 certificates can be used for risk reduction. Further, we build stochastic term-structure models for the electricity futures market based on a no-arbitrage theory stemming from delivery periods in the futures contracts. We discuss the performance of the model in the German electricity market based on Brownian motions and more general Lévy process. Moreover, we introduce pricing algorithms for options on electricity futures based on the above mentioned distributions and asses their performance.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 184 pp. Englisch. Seller Inventory # 9783836489683
Quantity: 2 available