[pt] A proteção contra a volatilidade dos preços spot torna-se cada vez mais importante nos mercados de energia desverticalizados. Portanto, ser capaz de modelar preços forward e futuros de eletricidade é crucial em um ambiente competitivo. A eletricidade difere de outras commodities devido à sua capacidade de armazenamento e transporte limitados. Além disso, seus derivativos estão associados a um período de entrega durante o qual a energia é concedida continuamente, o que implica em muitas vezes os contratos de eletricidades serem denominados swaps. Tais peculiaridades tornam a modelagem de preços de contratos de energia elétrica uma tarefa não trivial, onde os modelos tradicionais devem ser adaptados para atender às características mencionadas. Neste contexto, foi proposto um modelo estrutural semi-paramétrico para obtenção de uma curva forward de eletricidade contínua e diária através de critérios de máxima suavidade. Ademais, os contratos forward elementares podem ser representados por qualquer estrutura paramétrica para sazonalidade ou mesmo para variáveis exógenas. Nossa estrutura reconhece a sobreposição dos swaps e permite uma análise das oportunidades de arbitragem observadas nos mercados de energia. A curva forward é calculada por um problema de otimização hierárquico capaz de lidar com conjuntos de dados escassos de mercados com baixa liquidez. Os resultados do PCA corroboram a capacidade do modelo em explicar uma alta porcentagem da variância com apenas alguns fatores. / [en] Hedging against spot price volatilities becomes increasingly important in deregulated power markets. Therefore, being able to model electricity forward prices is crucial in a competitive environment. Electricity differs from other commodities due to its limited storability and transportability. Furthermore, its derivatives are associated with a delivery period during which electricity is continuously delivered, implying on referring to power forwards as swaps. These peculiarities make the modeling of electricity contract prices a non-trivial task, where traditional models must be adapted to address the mentioned characteristics. In this context, we propose a novel semiparametric structural model to compute a continuous daily forward curve of electricity through maximum smoothness criterion. In addition, elementary forward contracts can be represented by any parametric structure for seasonality or even for exogenous variables. Our framework acknowledges the overlapped swaps and allows an analysis of arbitrage opportunities observed in power markets. The smooth forward curve is computed by a hierarchical optimization problem able to handle scarce data sets from low-liquidity markets. PCA results corroborate our framework s capability to explain a high percentage of variance with only a few factors.

In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. We conclude, with certainty, that there are many alternatives for funding and that they each need to be analysed and compared on many levels to be able to make a correct decision as to which ones to choose. An important part of this is to consider the implications of the newest regulations and risk exposure, as it might greatly influence the final price for contracts. Between the cases that we considered, the SEK bond was the one with the lowest resulting spread, and the one which is the simplest considering the collateral involved. While other alternatives might be better depending on how profitable it is for the municipality to receive collateral, the SEK bond is the most transparent one and with least risk involved.