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.

HPC management and engineering in the hybrid cloud

The evolution and maturation of Cloud Computing created an opportunity for the emergence of new Cloud applications. High-performance Computing, a complex problem solving class, arises as a new business consumer by taking advantage of the Cloud premises and leaving the expensive datacenter management and difficult grid development. Standing on an advanced maturing phase, today’s Cloud discarded many of its drawbacks, becoming more and more efficient and widespread. Performance enhancements, prices drops due to massification and customizable services on demand triggered an emphasized attention from other markets. HPC, regardless of being a very well established field, traditionally has a narrow frontier concerning its deployment and runs on dedicated datacenters or large grid computing. The problem with common placement is mainly the initial cost and the inability to fully use resources which not all research labs can afford. The main objective of this work was to investigate new technical solutions to allow the deployment of HPC applications on the Cloud, with particular emphasis on the private on-premise resources – the lower end of the chain which reduces costs. The work includes many experiments and analysis to identify obstacles and technology limitations. The feasibility of the objective was tested with new modeling, architecture and several applications migration. The final application integrates a simplified incorporation of both public and private Cloud resources, as well as HPC applications scheduling, deployment and management. It uses a well-defined user role strategy, based on federated authentication and a seamless procedure to daily usage with balanced low cost and performance.