Bergische Universität Wuppertal Fachbereich Mathematik und Naturwissenschaften Angewandte Mathematik - Numerische Analysis

People Research Publications Teaching

---

Numerical Pricing of Energy Commodity Derivatives

Masterarbeit Computer Simulation in Science - Financial Mathematics

Supervision

• Prof. Dr. Matthias Ehrhardt

Description

In this thesis we investigate ...

Keywords

Real Options

References:

1. H. Albrecher, P. Mayer, W. Schoutens, J. Tistaert, The Little Heston Trap, (2006) Available at: CiteSeer: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.170.9335
2. M. Asay, A Note on the Design of Commodity Option Contracts, J. Futures Markets 2 (1982).
3. J. Back, M. Prokopczuk, Commodity Price Dynamics and Derivatives Valuation: A Review, Working paper, Zeppelin University, 2012.
4. J. Back, M. Prokopczuk, M. Rudolf, Seasonality and the Valuation of Commodity Options, (2011), Available at SSRN: http://ssrn.com/abstract=1514803
5. J. Back, M. Prokopczuk, M. Rudolf, Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options, (2011) Available at SSRN: http://ssrn.com/abstract=1879109
6. G. Barone-Adesi, R. Whaley, Efficient Analytic Approximation of American Option Values, J. Finance 42 (1987).
7. M. Broadie, M. Chernov, M. Johannes, Model Specification and Risk Premia: Evidence from Futures Options, J. Finance 62 (2007)
8. P. Basu, W. Gavin, What Explains the Growth in Commodity Derivatives?, Federal Reserve Bank of St. Louis Review, 93 (2011), 37-48.
9. D. Basu, J. Miffre, Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure, Working paper, EDHEC Business School, 2012.
10. CME Group, NYMEX Rulebook - Chapter 150 New York Harbor ULSD Heating Oil Futures
11. CME Group, NYMEX Rulebook - Chapter 191 RBOB Gasoline Futures
12. CME Group, NYMEX Rulebook - Chapter 220 Henry Hub Natural Gas Futures
13. CME Group, NYMEX Rulebook - Chapter 320 Heating Oil Option Contract
14. CME Group, NYMEX Rulebook - Chapter 335 RBOB Gasoline Option
15. CME Group, NYMEX Rulebook - Chapter 370 Henry Hub Natural Gas Option
16. M. Jeanblanc, M. Yor, M. Chesney, Mathematical Methods for Financial Markets, Springer Finance, 2009.
17. R. De Bock, J. Gijón, Will Natural Gas Prices Decouple from Oil Prices across the Pond?, IMF Working Paper WP/11/143, 2011.
18. P. Gauthier, P. Rivaille, Fitting the Smile, Smart Parameters for SABR and Heston, 2009, SSRN
19. R. Gibson, E. Schwartz, Stochastic convenience yield and the pricing of oil contingent claims J. Finance 45 (1990)
20. C. Hager, S. Hüber, B. Wohlmuth, Numerical techniques for the valuation of basket options and its Greeks, J. Comput. Fin. 13 (2010), 1-31.
21. E. Hjalmarsson, Does the Black-Scholes formula work for electricity markets? A nonparametric approach, Department of Economics, Göteborg University and Yale University, Working Papers in Economics 101, 2003.
22. A. Lari-Lavassani, A. Sadeghi, A. Ware, Mean reverting models for energy option pricing, 2001.
23. R.H. Litzenberger, N. Rabinowitz, Backwardation in Oil Futures Markets: Theory and Empirical Evidence, J. Finance 50(1995), 1517-1545.
24. E. Mathis, Pricing of Energy Commodity Derivatives, Master Thesis, University of Zurich, 2012.
25. K. Miltersen, Commodity price modelling that matches current observables: a new approach Quant. Finance, 3 (2003), 51-58.
26. N. Hilber, C. Schwab, C. Winter, Computational Methods for Quantitative Finance, Lecture Notes, 2011.
27. N. Hilber, C. Schwab, C. Winter, Variational sensitivity analysis of parametric Markovian market models, ETH Research Report No. 2008-29.
28. R.C. Ready, Oil Prices and Long-Run Risk, Working paper, Rochester University, 2012.
29. M. Richter, C. Sørensen, Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans, 2002, available at SSRN.
30. G. Skiadopoulos Advances in the Commodity Futures Literature: A Review, J. Derivatives 20 (2013), 85-96.
31. J.Toivanen, Numerical Valuation of European Options under Kou's Jump-Diffusion Model, 2008.