Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 23 for “"Spot prices"”.
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Scheduling of electricity consumption under spot prices
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 1989.
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Modelling spot prices, risk management, and investment strategies for the energy markets
This thesis addresses the topics of spot price modelling, risk management, and investment applications in the energy markets. Eight of the most important energy markets that trade futures contracts on NYMEX, and one Spot Energy Index (SEI) proposed for the first time in this thesis, are …
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
… and extreme events where the electricity spot price exhibits spiky behaviour and volatility clustering. Extreme events appear when e.g. a power plant is unexpectedly closed down, or temperature drops significantly, and the spot price volatility may exceed mean price by several orders of …
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The relationship between crude oil and natural gas spot prices and its stability over time
… for a link between crude oil and natural gas prices was examined to determine whether one has existed in the past and exists in the present. Physical bases for a price relationship are examined. An econometric modeling exercise seeks to establish whether a stable price relationship exists and …
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Price Dynamics in LNG Spot Markets: An Econometric Analysis
… has touched upon the dynamics behind the LNG spot price mechanisms. Given the fact that long-term LNG contracts are linked to oil and/or hub-based pricing, an interesting question is which determinants drive LNG spot prices and their volatility in world markets. This dissertation employs …
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Spread, inventory and spot price volatility in the platinum market
… in the demand-and-supply conditions have on spot and futures prices. With the use of monthly data for the period January 1992 to January 2010, I find that the predictions of the theory of storage do not always hold in the platinum market. In conflict with the theoretical predictions, I find …
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Integration of Liberalised European Electricity Markets
… electricity market integration in nine European spot markets between 2000 and 2013, and four forward markets between 2007 and 2012. In contrast to most previous studies, this study proposes that electricity price processes are time-varying, and assesses the potential impacts of special events. …
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Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool
… in the international power markets has let prices to be determined by the fundamental rules of Supply and Demand, which brought a substitution from Supply Risk pre-regulation, to Price risk, thus increasing the necessity of hedging using derivatives such as futures and options and therefore …
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Three Essays on Futures Markets
… fees under different market conditions (spot returns). In essay three, we extend the study by Working (1962) and examine the sensitivity of optimal hedging ratios to heterogeneous expectations. The empirical results in both papers indicate that the optimal hedging ratio is an increasing …
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Understanding the price of DDGS
… on providing a descriptive analysis of DDGS prices, risk management practices or analyzing regional DDGS price differences. Time series methods are used to investigate the presence of a cointegrating relationship between weekly DDGS prices, soybean meal prices and corn prices in Iowa. The …
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The probability of nonconvergence and its spatial effects in the hard red winter wheat market
… of using futures contracts to effectively set prices. This failure of the price discovery function of the futures market increases a farmer’s basis risk exposure when hedging their grain. A variable storage rate (VSR) mechanism was adopted in 2018 for the hard red winter (HRW) wheat market to …
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Price discovery, market efficiency and temporal dynamic price relationship: an empirical analysis of worldwide precious metals markets
… dynamic price relationships between financial prices (futures and index) and spot price, for three of the most important precious metals, namely gold, silver and platinum.When people are concerned about the economy, prudent investors switch their investment into precious metals rather than …
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Modelling energy markets and pricing energy derivatives
… methodologies for modelling the underlying spot price dynamics in energy markets. After a brief introduction in the alternative forms of derivation that may be used for speculative and risk management purposes in energy markets, we assess the performance of the standard Black's framework in …
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Global terrestrial uranium supply and its policy implications : a probabilistic projection of future uranium costs
… mid-century mark; however, volatility of uranium spot prices is expected until uranium resource production/consumption equilibrium is reached.
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An econometric analysis of the forward freight market
… over and above the benefits they derive from the spot market. These economic functions are price discovery and risk management through hedging. A considerable amount of empirical research has been directed towards examining these functions in different financial and commodity derivatives markets. …
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The floating contract between risk-averse supply chain partners in a volatile commodity price environment
… problems in environments of volatile commodity prices are addressed. In the first problem, a risk-averse commodity user's purchasing policy and his risk-neutral supplier's pricing decision, where the user can purchase his needs through contract with his supplier as well as directly from the spot …
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Three Essays on Asset Pricing
… associated with demand and supply. The spot risk premium and forward bias implied by the unspanned model are on average large and negative but exhibit large fluctuations. The risk premiums display strong seasonal patterns, are related to the variance and skewness of the electricity spot …
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Market Conditions and the Functioning of Metal Futures Markets
… state of the storable commodity markets: futures prices are found to be upward biased predictors of the future spot prices when the market is in contango and are downward biased when the market is in backwardation. Nonparametric bootstrap simulations confirm that the forecast errors are negative …
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Essays On Wind Energy Integration And The Costs Of Intermittency
… production and marginal value of power. If spot prices are market-determined, this covariance can be measured using daily price and pro- duction data. I document that the covariance becomes increasing negative as wind penetration increases within European bidding zones, which does not occur …
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Three essays on empirical industrial organization
… search cost consumers, while obtaining lower prices. We present evidence in support of the presence of both direct and indirect externalities in the U.S. mortgage issuance industry, though the evidence is stronger for the former than for the latter. Given that in the mortgage industry lenders …
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