Show simple item record

dc.contributor.advisorPatidar, Kailash C.
dc.contributor.authorNobaza, Linda
dc.date.accessioned2015-11-05T07:34:19Z
dc.date.available2015-11-05T07:34:19Z
dc.date.issued2012
dc.identifier.urihttp://hdl.handle.net/11394/4634
dc.description>Magister Scientiae - MScen_US
dc.description.abstractWe discuss efficient Monte Carlo methods for pricing of electricity derivatives. Electricity derivatives are risk management tools used in deregulated electricity markets. In the past,research in electricity derivatives has been dedicated in the modelling of the behaviour of electricity spot prices. Some researchers have used the geometric Brownian motion and the Black Scholes formula to offer a closed-form solution. Electricity spot prices however have unique characteristics such as mean-reverting, non-storability and spikes that render the use of geometric Brownian motion inadequate. Geometric Brownian motion assumes that changes of the underlying asset are continuous and electricity spikes are far from being continuous. Recently there is a greater consensus on the use of Mean-Reverting Jump-Diffusion (MRJD) process to describe the evolution of electricity spot prices. In this thesis,we use Mean-Reverting Jump-Diffusion process to model the evolution of electricity spot prices. Since there is no closed-form technique to price these derivatives when the underlying electricity spot price is assumed to follow MRJD, we use Monte Carlo methods to value electricity forward contracts. We present variance reduction techniques that improve the accuracy of the Monte Carlo Method for pricing electricity derivatives.en_US
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.subjectElectricity derivativesen_US
dc.subjectJump-diffusion processen_US
dc.subjectMonte Carlo methoden_US
dc.titleEfficient Monte Carlo methods for pricing of electricity derivativesen_US
dc.typeThesisen_US
dc.rights.holderUniversity of the Western Capeen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record