Μοντελοποίηση της τιμής του ηλεκτρισμού σε συνεχή χρόνο και αποτίμηση παραγώγων σε ηλεκτρισμό

Abstract

In this dissertation our main purpose was to examine the relative efficiency of the double-exponential mean-reverting process (MRDEJP) compared to two others, thw simple mean- reverting (MRP) and the mean-reverting with Gaussian jump (MRGJP), in a continuous time setting. The idea came up from Lucia and Schwartz (2002) who actually used data from the same area, the Nord Pool market, but only estimated the mean-reverting processin discrete time, testing also its efficiency in the futures market. Estibano et al. (2002) has estimated the Gaussian jump process but only in a discrete time setting. We just tried to go further to that by incorporating a new jump model, the mean-reverting double exponential jump process (MRDEJP) and also test the other two in continuous time. The performance of the model was estimated under both econometric and financial metrics. The estimation of the parameters was made with the Maximum Likelihood Estimation method. We then tried to compare the three models by comparing the root mean-squared errors of various futures and forward prices of different maturity. We finally estimated the implicit market price of risk.