Disputas: Linda Vos

M. Sc. Linda Vos ved Matematisk institutt vil forsvare sin avhandling for graden ph.d.:

 

Stochastic volatility and multi-dimensional modeling in the European energy market

 

Linda Vos

Tid og sted for prøveforelesning 

12. oktober 2012 kl. 10.15,  Niels Henrik Abels hus, 12. etasje

Bedømmelseskomité

  • Lecturer Luitgaard Veraart, Department of Mathematics, London School of Economics and Political Science

  • Associate Professor Sjur Westgaard, Institutt for industriell økonomi og teknologiledelse, NTNU

Leder av disputas

Professor Bernt Øksendal, Matematisk institutt, Universitet i Oslo

Veiledere

  • Professor Fred Espen Benth, Matematisk institutt, Universitet i Oslo
  • Professor Koekebakker Steen, Institutt for økonomi, Universitetet i Agder

Sammendrag

In energy prices there is evidence for stochastic volatility.  Stochastic volatility has effect on the price of path-dependent options and therefore has to be modeled properly. We introduced a multi-dimensional non-Gaussian stochastic volatility model with leverage which can be used in energy pricing. It captures special features of energy prices like price spikes, mean-reversion, stochastic volatility and inverse leverage. Moreover it allows modeling dependencies between different commodities.

The derived forward price dynamics based on this multi-variate spot price model, provides a  very flexible structure. It includes cotango, backwardation and hump shape forward curves.

Alternatively energy prices could be modeled by a 2-factor model consisting of a non-Gaussian stable CARMA process and a non-stationary trend models by a Levy process. Also this model is able to capture special features like price spikes, mean reversion and the low frequency dynamics in the market. An robust L1-filter is introduced to filter out the states of the CARMA process. When applying to German electricity EEX exchange data an overall negative risk-premium is found. However close to delivery a positive risk-premium is observed.

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Publisert 20. sep. 2012 15:56 - Sist endret 20. sep. 2012 15:56