Structured Products on Electricity - Image 1

£52.18

GRIN Verlag Structured Products on Electricity

Name: Structured Products on Electricity
Brand: GRIN Verlag
Price: 52.18 GBP
Availability: InStock

Banking

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Description

Master's Thesis from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 6.0 , University of Lausanne, 156 entries in the bibliography, language: English, abstract: The Swiss electricity market has been facing structural changes in recent years due to market deregulation activities. This development has been accompanied by the emergence of spot markets where electricity is traded between producer and purchaser. Since the price charged to the end-customer turns out to be more exposed to market prices of electricity, the need for derivatives with a risk management purpose arises. A more recent asset class such as structured products may be used as a risk management tool. This paper focuses on the pricing of various structured products with the Swiss energy price indices as an underlying. Since electricity has particular features that result in a peculiar stochastic process, the pricing of electricity derivatives cannot rely on traditional pricing formulas that have been developed for equity or commodity underlyings. Rather, there is a need for a dynamic model that captures the unique characteristics of electricity. In this paper, a new jump diffusion process is proposed and estimated that is able to incorporate the Swiss electricity price properties. Building on this model, a Monte Carlo simulation is applied that allows one to price differing electricity derivatives that are embedded in structured products. Using the option pricing results, the feasibility and attractiveness of a defined range of structured products is investigated. In order to include the special properties of electricity, new structured products are developed that are more appropriate as risk management tools. One of the main contributions of this paper is the practical approach of how to price structured products. Keywords: Electricity, SWEP, Swissix, Structured Products, Monte Carlo, Jump Diffusion, Derivatives pricing

Product Specifications

Brand: GRIN Verlag
Format: paperback
ASIN: 3640232046
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Banking
Domain: Amazon UK
Release Date: 20 December 2008
Listed Since: 23 March 2010

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GRIN Verlag Structured Products on Electricity

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