Essays on commodity price risk:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2008
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Vorw. und Einl. in dt. Sprache. - Enth. u.a.: Spot and derivative pricing in the EEX Power market. - Optimal hedging strategies in commodity-intensive oligopolies. |
| Beschreibung: | XVIII, 151 S. graph. Darst. |
Internformat
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| 100 | 1 | |a Bierbrauer, Michael |d 1978- |e Verfasser |0 (DE-588)136019528 |4 aut | |
| 245 | 1 | 0 | |a Essays on commodity price risk |c von Michael Bierbrauer |
| 264 | 1 | |c 2008 | |
| 300 | |a XVIII, 151 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Vorw. und Einl. in dt. Sprache. - Enth. u.a.: Spot and derivative pricing in the EEX Power market. - Optimal hedging strategies in commodity-intensive oligopolies. | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2008 | ||
| 650 | 7 | |a Deutschland |2 stw | |
| 650 | 7 | |a Elektrizität |2 stw | |
| 650 | 7 | |a Hedging |2 stw | |
| 650 | 7 | |a Risiko |2 stw | |
| 650 | 7 | |a Rohstoffpreis |2 stw | |
| 650 | 7 | |a Spotmarkt |2 stw | |
| 650 | 7 | |a Stromhandel |2 stw | |
| 650 | 7 | |a Stromtarif |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Warenbörse |2 stw | |
| 650 | 0 | 7 | |a Rohstoffpreis |0 (DE-588)4050428-1 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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| adam_text | INHALTSVERZEICHNIS
Gutachter i
Vorwort iii
Inhaltsverzeichnis v
Abbildungsverzeichnis vii
Tabellenverzeichnis ix
Liste verwendeter Symbole xi
Abkürzungsverzeichnis xvii
Einleitung 1
Essay 1: Spot and Derivative Pricing in the EEX Power Market 11
M. Bierbrauer, C. Menn, S. T. Rachev, S. Track
Essay 2: Optimal hedging strategies in commodity-intensive oligopolies 55
M. Bierbrauer
Essay 3: Optimal hedging strategies in commodity-intensive oligopolies - 105
An extension
M. Bierbrauer
Curriculum Vitae 149
Ehrenwörtliche Erklärung 151
ABBILDUNGSVERZEICHNIS
Essay 1: Spot and Derivative Pricing in the EEX Power Market
Figure 1: Spot prices and spot log-prices of the Phelix base day index 51
Figure 2: Deseasonalized log-prices and probabilities of being in the 52
spike regime for modeis N, 3R and SJ
Figure 3: Bar plots of the probability integral transforms ofmodel K 53
and model N
Essay 2: Optimal hedging strategies in commodity-intensive oligopolies
Figure 1: Sequence of actions and equilibrium decisions 101
Figure 2: Optimal spot market hedge ratios over the d - n -plane 102
Figure 3: Optimal overall hedge ratios over the n - d -plane 103
Essay 3: Optimal hedging strategies in commodity-intensive oligopolies
— An extension
Figure 1: Optimal spot market hedge ratios in the Symmetrie n -firm case 142
Figure 2: Optimal overall hedge ratios in the Symmetrie n -firm 143
case over the d - k -plane
Figure 3: Optimal overall hedge ratios in the Symmetrie n -firm 144
case over the b -k -plane
Figure 4: Optimal overall hedge ratios in the Symmetrie n -firm 145
case over the n - k -plane
Figure 5: Optimal overall hedge ratios in the duopoly case with 146
asymmetric cost convexities
TABELLENVERZEICHNIS
Essay 1: Spot and Derivative Pricing in the EEX Power Market
Table 1: Summary statistics for the raw data sample and related series 41
Table 2: Parameter estimates for the non-linear least Square regression 42
of the seasonal (deterministic) components after removal of outliers
Table 3: Parameter estimation results for model MR and model B 43
Table 4: Parameter estimation results for model JD and model K 44
Table 5: Parameter estimates and statistics for the regime switching 45
modeis N, LN and E
Table 6: Parameter estimates and statistics for model SJ and model 3R 46
Table 7: Model Performance measures (goodness-of-fit statistics) for 47
selected modeis
Table 8: Model coverage for two-sided one-day-ahead confidence intervals 48
Table 9: Results of the distributional test proposed by 49
Crnkovic and Drachman (1996)
Table 10: Summary statistics for model Performance with respect to 50
futures pricing
|
| adam_txt |
INHALTSVERZEICHNIS
Gutachter i
Vorwort iii
Inhaltsverzeichnis v
Abbildungsverzeichnis vii
Tabellenverzeichnis ix
Liste verwendeter Symbole xi
Abkürzungsverzeichnis xvii
Einleitung 1
Essay 1: Spot and Derivative Pricing in the EEX Power Market 11
M. Bierbrauer, C. Menn, S. T. Rachev, S. Track
Essay 2: Optimal hedging strategies in commodity-intensive oligopolies 55
M. Bierbrauer
Essay 3: Optimal hedging strategies in commodity-intensive oligopolies - 105
An extension
M. Bierbrauer
Curriculum Vitae 149
Ehrenwörtliche Erklärung 151
ABBILDUNGSVERZEICHNIS
Essay 1: Spot and Derivative Pricing in the EEX Power Market
Figure 1: Spot prices and spot log-prices of the Phelix base day index 51
Figure 2: Deseasonalized log-prices and probabilities of being in the 52
spike regime for modeis N, 3R and SJ
Figure 3: Bar plots of the probability integral transforms ofmodel K 53
and model N
Essay 2: Optimal hedging strategies in commodity-intensive oligopolies
Figure 1: Sequence of actions and equilibrium decisions 101
Figure 2: Optimal spot market hedge ratios over the d - n -plane 102
Figure 3: Optimal overall hedge ratios over the n - d -plane 103
Essay 3: Optimal hedging strategies in commodity-intensive oligopolies
— An extension
Figure 1: Optimal spot market hedge ratios in the Symmetrie n -firm case 142
Figure 2: Optimal overall hedge ratios in the Symmetrie n -firm 143
case over the d - k -plane
Figure 3: Optimal overall hedge ratios in the Symmetrie n -firm 144
case over the b -k -plane
Figure 4: Optimal overall hedge ratios in the Symmetrie n -firm 145
case over the n - k -plane
Figure 5: Optimal overall hedge ratios in the duopoly case with 146
asymmetric cost convexities
TABELLENVERZEICHNIS
Essay 1: Spot and Derivative Pricing in the EEX Power Market
Table 1: Summary statistics for the raw data sample and related series 41
Table 2: Parameter estimates for the non-linear least Square regression 42
of the seasonal (deterministic) components after removal of outliers
Table 3: Parameter estimation results for model MR and model B 43
Table 4: Parameter estimation results for model JD and model K 44
Table 5: Parameter estimates and statistics for the regime switching 45
modeis N, LN and E
Table 6: Parameter estimates and statistics for model SJ and model 3R 46
Table 7: Model Performance measures (goodness-of-fit statistics) for 47
selected modeis
Table 8: Model coverage for two-sided one-day-ahead confidence intervals 48
Table 9: Results of the distributional test proposed by 49
Crnkovic and Drachman (1996)
Table 10: Summary statistics for model Performance with respect to 50
futures pricing |
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| author | Bierbrauer, Michael 1978- |
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| dewey-full | 333.79 658.155 |
| dewey-hundreds | 300 - Social sciences 600 - Technology (Applied sciences) |
| dewey-ones | 333 - Economics of land and energy 658 - General management |
| dewey-raw | 333.79 658.155 |
| dewey-search | 333.79 658.155 |
| dewey-sort | 3333.79 |
| dewey-tens | 330 - Economics 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Thesis Book |
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| index_date | 2024-07-02T22:08:37Z |
| indexdate | 2024-07-09T21:21:51Z |
| institution | BVB |
| language | English |
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| physical | XVIII, 151 S. graph. Darst. |
| publishDate | 2008 |
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| spelling | Bierbrauer, Michael 1978- Verfasser (DE-588)136019528 aut Essays on commodity price risk von Michael Bierbrauer 2008 XVIII, 151 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Vorw. und Einl. in dt. Sprache. - Enth. u.a.: Spot and derivative pricing in the EEX Power market. - Optimal hedging strategies in commodity-intensive oligopolies. Frankfurt am Main, Univ., Diss., 2008 Deutschland stw Elektrizität stw Hedging stw Risiko stw Rohstoffpreis stw Spotmarkt stw Stromhandel stw Stromtarif stw Theorie stw Warenbörse stw Rohstoffpreis (DE-588)4050428-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Rohstoffpreis (DE-588)4050428-1 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016753260&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bierbrauer, Michael 1978- Essays on commodity price risk Deutschland stw Elektrizität stw Hedging stw Risiko stw Rohstoffpreis stw Spotmarkt stw Stromhandel stw Stromtarif stw Theorie stw Warenbörse stw Rohstoffpreis (DE-588)4050428-1 gnd |
| subject_GND | (DE-588)4050428-1 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Essays on commodity price risk |
| title_auth | Essays on commodity price risk |
| title_exact_search | Essays on commodity price risk |
| title_exact_search_txtP | Essays on commodity price risk |
| title_full | Essays on commodity price risk von Michael Bierbrauer |
| title_fullStr | Essays on commodity price risk von Michael Bierbrauer |
| title_full_unstemmed | Essays on commodity price risk von Michael Bierbrauer |
| title_short | Essays on commodity price risk |
| title_sort | essays on commodity price risk |
| topic | Deutschland stw Elektrizität stw Hedging stw Risiko stw Rohstoffpreis stw Spotmarkt stw Stromhandel stw Stromtarif stw Theorie stw Warenbörse stw Rohstoffpreis (DE-588)4050428-1 gnd |
| topic_facet | Deutschland Elektrizität Hedging Risiko Rohstoffpreis Spotmarkt Stromhandel Stromtarif Theorie Warenbörse Aufsatzsammlung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016753260&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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