dc.contributor.author
Zafeiriou, Nikolaos
en
dc.date.accessioned
2015-06-18T11:03:24Z
dc.date.available
2015-09-27T05:57:59Z
dc.date.issued
2015-06-18
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/416
dc.rights
Default License
dc.title
Electricity and Carbon Derivatives
en
heal.keyword
Carbon dioxide--Environmental aspects
en
heal.keyword
Carbon dioxide--Industrial applications
en
heal.keyword
Electricity
en
heal.keyword
Dissertations, Academic
en
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Science and Technology, MSc in Energy Systems
heal.publicationDate
2013-11
heal.bibliographicCitation
Zafeiriou, Nikolaos, 2013, Electricity and carbon derivatives , Master's Dissertation, International Hellenic University
en
heal.tableOfContents
1.Introduction
....................................................................................................................
3
2.Literature
Review
..........................................................................................................
6
3.Methodology
..................................................................................................................
14
3.1
Empirical
Models
.....................................................................................................................................
15
3.1.1
Geometric
Brownian
Motion(GBMP)
...........................................................................................
15
3.1.2
Mean
Reverting
Gaussian
Process
(MRGP)
...............................................................................
17
3.1.3
Mean
Reverting
Square
Root
Process
(MRSRP)
......................................................................
20
3.2
Information
Criteria
and
Statistical
Modeling
.............................................................................
24
3.2.1
Log
Likelihood
........................................................................................................................................
24
3.2.2
Bayesian
Information
Criterion
.....................................................................................................
27
3.3
Pricing
formulas
for
electricity
CSS
and
CDS
options
..............................................................
28
3.4
Data
Description
.......................................................................................................................................
30
3.4.1
Uk
Dark
Spread
PDGBM1
index
......................................................................................................
31
3.4.2
Uk
Spark
Spread
PSGBM1
index
.....................................................................................................
32
3.4.3
German
Spark
Spread
PDGYM1
index
.........................................................................................
33
3.4.4
Germany
Spark
Spread
PSGYM1
index
........................................................................................
34
4.Empirical
Analysis
.......................................................................................................
36
4.1
Descriptive
Statistics
..............................................................................................................................
36
4.2
Model
Parameter
Estimates
................................................................................................................
36
4.2.1
UK
Clean
Dark
Spread
........................................................................................................................
37
4.2.2
UK
Clean
Spark
Spread
......................................................................................................................
37
4.2.3
Germany
Clean
Dark
Spread
............................................................................................................
39
4.2.4
Germany
Clean
Spark
Spread
..........................................................................................................
40
5.Discussion
and
concluding
Remarks
....................................................................
41
5.1
Discussing
on
the
empirical
results
.................................................................................................
41
5.2
A
Call
Option
written
on
the
Uk
Clean
Spark
spread
................................................................
42
6.Appendix
........................................................................................................................
45
6.1
The
non
Central
Chi-‐Square
Distribution
......................................................................................
45
6.2
Poisson
Distribution
...............................................................................................................................
45
6.3
Wiener
Process
.........................................................................................................................................
46
References
.........................................................................................................................
47
en
heal.advisorName
Psychoyios, Dimitris
en
heal.committeeMemberName
Lect. Psichoyios
en
heal.committeeMemberName
Prof.Nomikos
en
heal.committeeMemberName
Dr. Dergiades
en
heal.academicPublisher
School of Science &Technology, Master of Science (MSc) in Energy Systems
en
heal.academicPublisherID
ihu
heal.fullTextAvailability
true