House of Energy Markets and Finance

Completed Theses

    Risikoprämien in Commodity Märkten

    Type:
    Bachelor Thesis Business Administration
      Status:
      completed
      Tutor:

      Abstract

      <span style="color: rgb(25, 25, 25); font-family: Arial, Helvetica, sans-serif; font-size: 13px; line-height: 19.5px; text-align: justify; ">Diskussion von Modellen zur Ermittlung von Risikoprämien in Commodity Märken, insbesondere Elektrizitätsmärkten.</span>

      Literatur:

      - Variance risk premia in energy commodities. Trolle, Anders B. and Schwartz, Eduardo S.. 2009. 

      - Modelling the structure of long-term electricity forward prices at Nord Pool. Povh, Martin; Golob, Robert  and Fleten, Stein-Erik. 2009.

      - Time-varying risk aversion: An application to energy hedging. Cotter, John and Hanly, Jim. Energy Economics 32 (2010). S. 432–441.

      - Computing the market price of volatility risk in the energy commodity markets. Doran, James and Ronn, Ehud I.. Journal of Banking & Finance 32 (2008). S. 2541–2552.

      - Strategic Forward Contracting in the Wholesale Electricity Market. Holmberg, Pär. The Energy Journal, Vol. 32, No. 1. 2009. S. 169-202.