Sökning: "Futures curve models"
Hittade 4 avhandlingar innehållade orden Futures curve models.
1. Pricing of Some Path-Dependent Options on Equities and Commodities
Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER
2. A Factor Analytical Approach to Dynamic Panel Data Models
Sammanfattning : This thesis deals with the development and application of new estimation approaches based on factor analysis for estimation and inference in dynamic panel data models with fixed-effects. A new factor analytical method (FA) for the estimation of fixed-effects dynamic panel data models is proposed in Bai ("Fixed-Effects Dynamic Panel Models, A Factor Analytical Method". LÄS MER
3. Essays in mathematical finance : modeling the futures price
Sammanfattning : This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. LÄS MER
4. Electricity markets operation planning with risk-averse agents: stochastic decomposition and equilibium
Sammanfattning : The growing penetration of renewable energy sources in electricity systems requires adapting operation models to face the inherent variability and uncertainty of wind or solar generation. In addition, the volatility of fuel prices (such as natural gas) or the uncertainty of the hydraulic natural inflows requires to take into account all these sources of uncertainty within the operation planning of the generation system. LÄS MER