Disputas: Sara Ana Solanilla Blanco

M. Sc. Sara Ana Solanilla Blanco ved Matematisk institutt vil forsvare sin avhandling for graden ph.d.:

Stochastic modelling and pricing of energy and weather derivatives

 

Sara Ana Solanilla Blanco

Tid og sted for prøveforelesning

27. februar 2015 kl. 10.15,  Aud. 5 Vilhelm Bjerknes' hus

Bedømmelseskomité

  • Associate Professor Svetlana Borovkova, VU University Amsterdam

  • Lecturer Michael Coulon, University of Sussex

Leder av disputas

Professor Tom Louis Lindstrøm, Matematisk institutt, Universitet i Oslo

Veiledere

Sammendrag

A well-known problem in energy markets is to find efficient stochastic models for the underlying spot and derivatives products. We focus our attention to energy markets that are incomplete for the impossibility of trading in the spot. The electricity market is an example of an incomplete market of this nature. Electricity is a commodity that after being produced, it  has to be used for practical purposes due to the impossibility of being directly stored. We model the spot price in these markets with Lévy Semistationary (LSS) processes and find that futures prices are functionals of the path of the spot price up to current time. 

The weather market is another incomplete market of this nature which is closely related to energy markets. Participants in the electricity spot market hedge against volume risk and price fluctuations by trading in weather derivatives. We consider Levy-driven CARMA processes, a particular class of LSS processes, to model the variable temperature for heating-degree days (HDD) and cooling-degree days (CDD) indexes and derive approximate formulas for HDD and CDD temperature futures and option prices that are analytically tractable. 

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Publisert 6. feb. 2015 15:40 - Sist endret 26. feb. 2015 09:16