Sheikh, Samir Masood
(2007)
Modeling Energy Spot Market and Pricing Energy Derivatives: A Technical Analysis.
Master's Thesis, University of Pittsburgh.
(Unpublished)
Abstract
A data driven approach is utilized to model the energy spot prices using mean reverting diffusion processes with jumps. Initially, the Ornstein Uhlenbeck model is considered to calibrate the parameters using the data without incorporating jumps. After the calibration, a technical analysis of the jump magnitudes is carried out and accordingly a jump term, whose magnitudes are log-normally distributed with the rate of occurrence following a Poisson process, is incorporated into the model. Alternatively, some non-parametric statistics is also employed to analyze the jump process. Finally, an explicit closed-form equation for the price of a forward on energy spot prices is derived and prices are calculated numerically for different times to expiry.
Share
| Citation/Export: |
|
| Social Networking: |
|
Details
| Item Type: |
University of Pittsburgh ETD
|
| Status: |
Unpublished |
| Creators/Authors: |
| Creators | Email | Pitt Username | ORCID  |
|---|
| Sheikh, Samir Masood | sms79@pitt.edu | SMS79 | |
|
| ETD Committee: |
|
| Date: |
28 June 2007 |
| Date Type: |
Completion |
| Defense Date: |
23 April 2007 |
| Approval Date: |
28 June 2007 |
| Submission Date: |
26 April 2007 |
| Access Restriction: |
No restriction; Release the ETD for access worldwide immediately. |
| Institution: |
University of Pittsburgh |
| Schools and Programs: |
Dietrich School of Arts and Sciences > Mathematics |
| Degree: |
MS - Master of Science |
| Thesis Type: |
Master's Thesis |
| Refereed: |
Yes |
| Uncontrolled Keywords: |
Electricity Spot Market; forward price; Mean reverting diffusion process |
| Other ID: |
http://etd.library.pitt.edu/ETD/available/etd-04262007-152450/, etd-04262007-152450 |
| Date Deposited: |
10 Nov 2011 19:42 |
| Last Modified: |
15 Nov 2016 13:42 |
| URI: |
http://d-scholarship.pitt.edu/id/eprint/7666 |
Metrics
Monthly Views for the past 3 years
Plum Analytics
Actions (login required)
 |
View Item |
![[feed]](/images/feed-icon-32x32.png){kind=icon}