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.

Development of a single photon counting computed tomography system using MPGDs

The development of computed tomography systems with energy resolving detectors is a current challenge in medical physics and biomedical engineering. A computed tomography system of this kind allows getting complementary informations relatively to conventional systems, that can help the medical diagnosis, being of great interest in medicine. The work described in this thesis is related to the development of a computed tomography system using micropattern gaseous detectors, which allow storing, simultaneously, information about the interaction position and the energy of each single photon that interacts with the detector. This kind of detectors has other advantages concerning the cost and characteristics of operation when compared with solid state detectors. Tomographic acquisitions were performed using a MicroHole & Strip Plate based detector, which allowed reconstructing cross-sectional images using energy windows, applying the energy weighting technique and performing multi-slice and tri-dimensional reconstructions. The contrast-to-noise ratio was improved by 31% by applying the energy weighting technique, comparing with the corresponding image obtained with the current medical systems. A prototype of a computed tomography with flexibility to change the detector was developed, making it possible to apply different detectors based on Thick-COBRA. Several images acquired with these detectors are presented and demonstrate their applicability in X-ray imaging. When operating in NeCH4, the detector allowed a charge gain of 8 104, an energy resolution of 20% (full width at half maximum at 8 keV), a count rate of 1 106 Hz/mm2, a very stable operation (gain fluctuations below 5%) and a spacial resolution of 1.2 mm for an energy photon of 3.6 keV. Operating the detector in pure Kr allowed increasing the detection efficiency and achieving a charge gain of 2 104, an energy resolution of 32% (full width at half maximum at 22 keV), a count rate of 1 105 Hz/mm2, very stable operation and a spatial resolution of 500 m. The software already existing in the group was improved and tools to correct geometric misalignments of the system were also developed. The reconstructions obtained after geometrical correction are free of artefacts due to the referred misalignments.