Search for dissertations about: "Forward prices"

Showing result 1 - 5 of 30 swedish dissertations containing the words Forward prices.

  2. 1. Credit risk and forward price models

    Author : Raquel M Gaspar; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. READ MORE

  4. 2. Benefits of Coordinating Plug-In Electric Vehicles in Electric Power Systems : Through Market Prices and Use-of-System Network Charges

    Author : Ilan Momber; Lennart Söder; Tomás Gómez San Román; José Villar Collado; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electric Vehicles; Power Systems; Optimization; Elektrische Voertuigen; Energiesystemen; Optimalisatie; Elbilarna; Elkraftsystem; Optimering; Vehiculos Electricos; Sistemas de Potencia; Optimización; Electrical Engineering; Elektro- och systemteknik; Economics; Nationalekonomi; Industriell ekonomi och organisation; Industrial Engineering and Management; Energy Technology; Energiteknik; Transportvetenskap; Transport Science;

    Abstract : Both electric power systems and the transportation sector are essential constituents to modern life, enhancing social welfare, enabling economic prosperity and ultimately providing well-being to the people. However, to mitigate adverse climatological effects of emitting greenhouse gases, a rigorous de-carbonization of both industries has been set on the political agenda in many parts of the world. READ MORE

  5. 3. Expectations, Financial Markets and Monetary Policy

    Author : Dmytro Stoyko; Mikael Bask; Daniel Spiro; John Hassler; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Macroeconomics; Monetary policy; DSGE models; Expectations; Macroprudential regulations; Credit spread; Forward guidance; Economics; Nationalekonomi;

    Abstract : Monetary Policy and Macroprudential Regulations. We investigate the desirability of macroprudential regulations in a DSGE model with collateral and income borrowing constraints. READ MORE

  6. 4. Efficient Trading in the Short-term Electricity Markets for Integration of Renewable Energy Sources : Multistage Stochastic and Agent-based Modeling Approaches for Continuous Intraday Electricity Market

    Author : Priyanka Shinde; Mikael Amelin; Lennart Söder; Nikolaos Paterakis; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Continuous intraday electricity market; Virtual power plant; Trading strategy; Stochastic dual dynamic program; Agent-based modeling; Adaptive learning; Renewable energy sources; Cross-border intraday trading; Flow-based market coupling; Balancing market; Imbalance settlement cost; Randomized progressive hedging; Multistage stochastic programming; Energy storage; Intraday prices; Intraday price analysis; Time series analysis; Kontinuerliga intradagmarknaden; Virtuellt kraftverk; Handelsstrategi; Stokastisk dual dynamisk programmering; Agentbaserad modellering; Adaptivt l¨arande; F¨ornybara energik¨allor; Gr¨ans¨overskridande intradaghandel; Fl¨odesbaserad marknadskoppling; Balansmarknaden; Balansavr¨akningskostnader; Randomiserad progressive hedging; Stokastisk multiskedesprogrammering; Energilagring; Intradagpriser; Intradagprisanalys; Tidsserieanalys; Electrical Engineering; Elektro- och systemteknik;

    Abstract : This thesis investigates the role of different short-term electricity market design aspects that can facilitate better coordination of resources within the power system. The work also emphasizes on better cross-border integration of the short-term markets to improve the market liquidity, competition, social welfare, and flexibility in the system, which is essential for facilitating the integration of renewable sources. READ MORE

  7. 5. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

    Author : Daniel Deng; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

    Abstract : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. READ MORE