Search for dissertations about: "Futures curve models"

Found 4 swedish dissertations containing the words Futures curve models.

  2. 1. Pricing of Some Path-Dependent Options on Equities and Commodities

    Author : Mats Kjaer; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

    Abstract : 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. READ MORE

  4. 2. A Factor Analytical Approach to Dynamic Panel Data Models

    Author : Milda Norkute; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Dynamic panel data models; Factor analytical method; Bias; Incidental trends; MA errors; Factor-GMM;

    Abstract : 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". READ MORE

  5. 3. Essays in mathematical finance : modeling the futures price

    Author : Magnus Blix; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : 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. READ MORE

  6. 4. Electricity markets operation planning with risk-averse agents: stochastic decomposition and equilibium

    Author : Nenad Jovanovic; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; decomposition techniques; market equilibrium; risk-averse agents; stochastic optimization;

    Abstract : 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. READ MORE