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Please use this identifier to cite or link to this item: http://hdl.handle.net/1807/17324

Title: Multi-factor Energy Price Models and Exotic Derivatives Pricing
Authors: Hikspoors, Samuel
Advisor: Jaimungal, Sebastian
Department: Statistics
Keywords: Mathematical finance
Energy derivatives
Option pricing and hedging
Singular perturbation
Issue Date: 26-Feb-2009
Abstract: 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.
URI: http://hdl.handle.net/1807/17324
Appears in Collections:Doctoral
Department of Statistics - Doctoral theses

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