Disputas: Che Mohd Imran Che Taib
M. Sc. Che Mohd Imran Che Taib ved Matematisk institutt vil forsvare sin avhandling for graden ph.d.: Stochastic Modelling and Pricing of Energy Related Markets With the Analysis of the Weather and Shipping Markets
Che Mohd Imran Che Taib
Tid og sted for prøveforelesning
Svetlana Borovkova, VU University Amsterdam
Svein-Arne Persson, Norwegian School of Economics
Giulia Di Nunno, University of Oslo
Leder av disputas
Professor Ørnulf Borgan, Matematisk institutt, Universitet i Oslo
- Professor Fred Espen Benth, Matematisk institutt, Universitet i Oslo
- Professor Steen Koekebakker, University of Agder
The two markets for the so-called exotic commodities, weather and shipping are the main concerned in this thesis. Weather in particular temperature plays an important role in some industry such as electricity, agriculture and tourism. On the other hand, shipping provides service for transporting bulk commodity, for instance coal, iron ore and grain between continents or countries. Dealing with uncertain temperature condition and volatile freight rate in the future is considerably risky. Therefore, a more sophisticated way to the market player to reduce the risk is by entering the contract of forward/futures for specific delivery time.
Weather and shipping are non-storable commodities. They cannot be traded in the usual way. Hence, there is a challenge to suggest the best model for such price dynamics, and to price derivatives. Based on statistical analysis of such markets, the thesis investigates their stylized facts. Some relevant Levy-driven stochastic models are then introduced which can capture the heavy-tailed logreturns, time-varying volatility and mean reversion. It turns out that the benchmark geometric Brownian motion model which is usually used in stock price is inappropriate to explain the dynamics of these markets. The thesis introduces the more general model driven by Levy processes to encounter more important financial factors. The implication of using different model is investigated through the concept of Value-at-Risk. Using the arbitrage pricing theory, the price of forward/futures is finally derived.
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