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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.type
masterThesis
heal.keyword
Carbon dioxide--Environmental aspects
en
heal.keyword
Carbon dioxide--Industrial applications
en
heal.keyword
Electricity
en
heal.keyword
Dissertations, Academic
en
heal.language
en
heal.access
free
el
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.numberOfPages
50
heal.fullTextAvailability
true


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