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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Pricing Power Derivatives: Electricity Swing Options

Aydin, Nadi Serhan 01 June 2010 (has links) (PDF)
The Swing options are the natural outcomes of the increasing uncertainty in the power markets, which came along with the deregulation process triggered by the UK government&rsquo / s action in 1990 to privatize the national electricity supply industry. Since then, the ways of handling the risks in the price generation process have been explored extensively. Producer-consumers of the power market felt confident as they were naturally hedged against the price fluctuations surrounding the large consumers. Companies with high power consumption liabilities on their books demanded tailored financial products that would shelter them from the upside risks while not preventing them from benefiting the low prices. Furthermore, more effective risk management practices are strongly dependent upon the successful parameterization of the underlying stochastic processes, which is also key to the effective pricing of derivatives traded in the market. In this thesis, we refer to the electricity spot price model developed jointly by Hambly, Howison and Kluge ([13]), which incorporates jumps and still maintains the analytical tractability. We also derive the forward curve dynamics implied by the spot price model and explore the effects on the forward curve dynamics of the spikes in spot price. As the main discussion of this thesis, the Grid Approach, which is a generalization of the Trinomial Forest Method, is applied to the electricity Swing options. We investigate the effects of spikes on the per right values of the Swing options with various number of exercise rights, as well as the sensitivities of the model-implied prices to several parameters.
2

Modelování vývoje cen u dodávané stavební produce v krizovém období / PRICE MODELING OF BUILDING PRODUCTION IN THE CRISIS PERIOD

Truska, Adam Unknown Date (has links)
The largest post-war economic crisis, which began spreading to the world in the second half of 2008, hit all sectors negatively. An important lesson from the analysis of the crisis is not its causes, but rather the reference to the drawbacks of globalization, in the form of dismantling the consequences of this crisis. Building industry is a specific branch of the Czech economy, which has responded to the outbreak, the course and the retreat of crisis, in a unique way. Both pre-investment and investment phases of a construction project are time-consuming, resulting in a delayed response - inertia, to changes in the state of the economy that are reflected in aggregate demand from which demand for construction output is derived. The thesis focuses mainly on the development market, where it focuses in detail on evolution of housing construction in the pre-crisis, crisis and post-crisis period. The set of incorrect steps, decisions and inactivity of residential developers caused a unique phenomenon - the house-offer crisis. Therefore, the result of the work is methodological recommendations - a set of steps whose observation should reduce the negative effects of the crisis on the construction industry and avoid the re-emergence of the house-offer crisis. Economic cycles give us two assurances: each growth is followed by fall and vice versa. Nowadays it is not possible to predict the causes of the future crisis or its length, but it is important to prepare for it.
3

Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments / Stokastisk modellering av elpriser och effekten på investeringar i balanskraft

Ruthberg, Richard, Wogenius, Sebastian January 2016 (has links)
Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. Hence, investing in balancing power is prone to high risks with respect to expected profits, which is why a good representation of electricity prices is vital in order to motivate future investments. We propose a stochastic multi-factor model to be used for simulating the long-run dynamics of electricity prices as input to investment valuation of power generation assets. In particular, the proposed model is used to assess the impact of electricity price dynamics on investment decisions with respect to balancing power generation, where a combined heat and power plant is studied in detail. Since the main goal of the framework is to create a long-term representation of electricity prices so that the distributional characteristics of electricity prices are maintained, commonly cited as seasonality, mean reversion and spikes, the model is evaluated in terms of yearly duration which describes the distribution of electricity prices over time. The core aspects of the framework are derived from the mean-reverting Pilipovic model of commodity prices, but where we extend the assumptions in a multi-factor framework by adding a functional link to the supply- and demand for power as well as outdoor temperature. On average, using the proposed model as a way to represent future prices yields a maximum 9 percent overand underprediction of duration respectively, a result far better than those obtained by simpler models such as a seasonal profile or mean estimates which do not incorporate the full characteristics of electricity prices. Using the different aspects of the model, we show that variations of electricity prices have a large impact on the investment decision with respect to balancing power. The realized value of the flexibility to produce electricity in a combined heat and power plant is calculated, which yields a valuation close to historical realized values. Compared with simpler models, this is a significant improvement. Finally, we show that by including characteristics such as non-constant volatility and spiky behavior in investment decisions, the expected value of balancing power generators, such as combined heat and power plants, increases. / I takt med att fler intermittenta förnyelsebara energikällor tillför el i dagens energisystem, blir också balanskraftens roll i dessa system allt viktigare. Vidare så har en ökning av andelen intermittenta förnyelsebara energikällor även effekten att de bidrar till lägre men också mer volatila elpriser. Därmed är även investeringar i balanskraft kopplade till stora risker med avseende på förväntade vinster, vilket gör att en god representation av elpriser är central vid investeringsbeslut. Vi föreslår en stokastisk flerfaktormodell för att simulera den långsiktiga dynamiken i elpriser som bas för värdering av generatortillgångar. Mer specifikt används modellen till att utvärdera effekten av elprisers dynamik på investeringsbeslut med avseende på balanskraft, där ett kraftvärmeverk studeras i detalj. Eftersom huvudmålet med ramverket är att skapa en långsiktig representation av elpriser så att deras fördelningsmässiga karakteristika bevaras, vilket i litteraturen citeras som regression mot medelvärde, säsongsvariationer, hög volatilitet och spikar, så utvärderas modellen i termer av årlig prisvaraktighet som beskriver fördelningen av elpriser över tid. Kärnan i ramverket utgår från Pilipovic-modellen av råvarupriser, men där vi utvecklar antaganden i ett flerfaktorramverk genom att lägga till en länkfunktion till tillgång- och efterfrågan på el samt utomhustemperatur. Vid användande av modellen som ett sätt att representera framtida priser, fås en maximal över- och underprediktion av prisvaraktighet om 9 procent, ett resultat som är bättre än det som ges av enklare modellering såsom säsongsprofiler eller enkla medelvärdesestimat som inte tar hänsyn till elprisernas fulla karakteristika. Till sist visar vi med modellens olika komponenter att variationer i elpriser, och därmed antaganden som används i långsiktig modellering, har stor betydelse med avseende på investeringsbeslut i balanskraft. Det realiserade värdet av flexibiliteten att producera el för ett kraftvärmeverk beräknas, vilket ger en värdering nära faktiska realiserade värden baserade på historiska priser och som enklare modeller inte kan konkurrera med. Slutligen visar detta också att inkluderandet av icke-konstant volatilitet och spikkarakteristika i investeringsbeslut ger ett högre förväntat värde av tillgångar som kan producera balanskraft, såsom kraftvärmeverk.

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