Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

DACA: architecture to implement dynamic access control mechanisms on business tier components

Access control is a software engineering challenge in database applications. Currently, there is no satisfactory solution to dynamically implement evolving fine-grained access control mechanisms (FGACM) on business tiers of relational database applications. To tackle this access control gap, we propose an architecture, herein referred to as Dynamic Access Control Architecture (DACA). DACA allows FGACM to be dynamically built and updated at runtime in accordance with the established fine-grained access control policies (FGACP). DACA explores and makes use of Call Level Interfaces (CLI) features to implement FGACM on business tiers. Among the features, we emphasize their performance and their multiple access modes to data residing on relational databases. The different access modes of CLI are wrapped by typed objects driven by FGACM, which are built and updated at runtime. Programmers prescind of traditional access modes of CLI and start using the ones dynamically implemented and updated. DACA comprises three main components: Policy Server (repository of metadata for FGACM), Dynamic Access Control Component (DACC) (business tier component responsible for implementing FGACM) and Policy Manager (broker between DACC and Policy Server). Unlike current approaches, DACA is not dependent on any particular access control model or on any access control policy, this way promoting its applicability to a wide range of different situations. In order to validate DACA, a solution based on Java, Java Database Connectivity (JDBC) and SQL Server was devised and implemented. Two evaluations were carried out. The first one evaluates DACA capability to implement and update FGACM dynamically, at runtime, and, the second one assesses DACA performance against a standard use of JDBC without any FGACM. The collected results show that DACA is an effective approach for implementing evolving FGACM on business tiers based on Call Level Interfaces, in this case JDBC.

Model of access to natural language sources in electronic government

For the actual existence of e-government it is necessary and crucial to provide public information and documentation, making its access simple to citizens. A portion, not necessarily small, of these documents is in an unstructured form and in natural language, and consequently outside of which the current search systems are generally able to cope and effectively handle. Thus, in thesis, it is possible to improve access to these contents using systems that process natural language and create structured information, particularly if supported in semantics. In order to put this thesis to test, this work was developed in three major phases: (1) design of a conceptual model integrating the creation of structured information and making it available to various actors, in line with the vision of e-government 2.0; (2) definition and development of a prototype instantiating the key modules of this conceptual model, including ontology based information extraction supported by examples of relevant information, knowledge management and access based on natural language; (3) assessment of the usability and acceptability of querying information as made possible by the prototype - and in consequence of the conceptual model - by users in a realistic scenario, that included comparison with existing forms of access. In addition to this evaluation, at another level more related to technology assessment and not to the model, evaluations were made on the performance of the subsystem responsible for information extraction. The evaluation results show that the proposed model was perceived as more effective and useful than the alternatives. Associated with the performance of the prototype to extract information from documents, comparable to the state of the art, results demonstrate the feasibility and advantages, with current technology, of using natural language processing and integration of semantic information to improve access to unstructured contents in natural language. The conceptual model and the prototype demonstrator intend to contribute to the future existence of more sophisticated search systems that are also more suitable for e-government. To have transparency in governance, active citizenship, greater agility in the interaction with the public administration, among others, it is necessary that citizens and businesses have quick and easy access to official information, even if it was originally created in natural language.