The high pace at which many of the world's energy markets have gradually been opened to
competition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their underlying asset properties set the energy risk management industry apart from
its more standard equity and fixed income counterparts. This thesis naturaly contributes to these broad market developments in participating to the advances of the mathematical
tools aiming at a better theory of energy contingent claim pricing/hedging. We propose
many realistic two-factor and three-factor models for spot and forward price processes
that generalize some well known and standard modeling assumptions. We develop the
associated pricing methodologies and propose stable calibration algorithms that motivate
the application of the relevant modeling schemes.
| Identifer | oai:union.ndltd.org:TORONTO/oai:tspace.library.utoronto.ca:1807/17324 |
| Date | 26 February 2009 |
| Creators | Hikspoors, Samuel |
| Contributors | Jaimungal, Sebastian |
| Source Sets | University of Toronto |
| Language | en_ca |
| Detected Language | English |
| Type | Thesis |
| Format | 764979 bytes, application/pdf |
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