Zafeiriou, Nikolaos

2015-09-27T05:57:59Z

https://repository.ihu.edu.gr//xmlui/handle/11544/416

Electricity and Carbon Derivatives

Carbon dioxide--Environmental aspects

Electricity

en

http://creativecommons.org/licenses/by-nc/4.0

2013-11

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

Lect. Psichoyios

Dr. Dergiades

ihu

true