Energy Commodity Market Modelling

Specialeforsvar: Christian Suderbo Jepsen Jensen og Malthe Rauh Johansen

Titel: Energy Commodity Market Modelling

Abstract: In this thesis, we propose a framework for modelling futures curves for cointegrated commodities. The proposed models describe the joint dynamics of the processes under both the physical and risk-free probability measures.
We estimate the parameters and latent factors using the Kalman filter and compare the quality of the resulting fit to Brent crude and low-sulphur gasoil futures with respect to different specifications. We furthermore investigate the properties of the market price of risk in oil markets.
We apply our proposed framework to valuing commodity swaps with counterparty credit risk and approximation techniques for pricing basket options such as calendar and crack spreads.

Vejleder: David G. Skovmand
Censor: Nina Lange, DTU