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dc.contributor.advisorHolden, Helgenb_NO
dc.contributor.advisorBenth, Fred Espennb_NO
dc.contributor.authorSkogtrø, Bjørn Waagenb_NO
dc.date.accessioned2014-12-19T13:57:53Z
dc.date.available2014-12-19T13:57:53Z
dc.date.created2010-09-04nb_NO
dc.date.issued2007nb_NO
dc.identifier348583nb_NO
dc.identifierntnudaim:1558nb_NO
dc.identifier.urihttp://hdl.handle.net/11250/258397
dc.description.abstracte will evaluate forward contracts in the electricity market. A thorough presentation of stochastic analysis for processes with discontinuous paths are provided, and some results concerning these from mathematical finance are stated. Using a Feynman-Kac-type theorem by Pham we derive a partial integro-differential equation giving the forward price from the spot dynamics taken from Geman and Roncoroni. This spot model is regime switching, so we get two equations. These equations are then attempted solved numerically. We suggest the following approach: When implementing boundary-conditions numerically we use values obtained from a Monte Carlo simulation of the spot dynamics to calibrate the boundary.nb_NO
dc.languageengnb_NO
dc.publisherInstitutt for matematiske fagnb_NO
dc.subjectntnudaimno_NO
dc.subjectMMA matematikkno_NO
dc.subjectAnalyseno_NO
dc.titleValuating Forward Contracts in the Electricity Market using Partial Integro-differential Equationsnb_NO
dc.typeMaster thesisnb_NO
dc.source.pagenumber98nb_NO
dc.contributor.departmentNorges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fagnb_NO


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