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.

Embryonic and larval ecology and biochemistry of offshore decapods

Understanding the biology of offshore species is hardened by the difficulties of sampling in the deep-sea environment. Additionally, due to the vastness of the open ocean, knowledge of early life histories of pelagic larvae is still relatively scarce. In decapod species with bentho-pelagic lifestyle, the transition from life in the seafloor to the water column not only is associated with drastic morphological metamorphosis, but also with changes in behavior and feeding ecology. The purpose of the present thesis was to investigate physiological, biochemical and behavioral adaptation occurring during early development of such species. The Norway lobster, Nephrops norvegicus, and the crab Monodaeus couchi were used as a model as these two species are encountered off the NE Atlantic shelf at depth greater than 300 m. Chapter 1 introduces the challenges faced by both adult and larvae inhabiting such remote habitats, including the effect of food availability on development and oceanographic processes on dispersal and recruitment. The thesis follows early life histories, starting with within-brood variability in the fatty acid (FA) profile displayed by developing N. norvegicus embryos. There were no differences in the FA composition of embryos sampled from both sides of the brooding chamber in most females. However, all females exhibited significant differences in the FA profiles of embryos sampled from different pleopods. Potential causes for the variations recorded may be differential female investment during oocyte production or shifts in FA catabolism during the incubation period promoted by embryo’s location within the brooding chamber. Next, feeding rates and digestive enzymes activity of the early stage larvae was investigated in N. norvegicus. Both stages were able to maximize food intake when larvae were scarce and showed increased feeding rate following periods of starvation. Amylase activity indicated that carbohydrates are not the primary energy reserve and that feeding may be required soon after hatching to trigger amylase activity. Protease activity indicated that protein reserves are catabolized under starvation. These results indicate that larvae may maximize prey ingestion in the presence of plankton patches with higher food abundance and minimize the deleterious effects induced by previous periods of intermittent starvation or unsuitable prey densities/types. Additionally, changes in enzymatic activity may allow newly hatched N. norvegicus larvae to metabolize protein reserves to overcome short-term starvation. Vertical migration behavior and the influence of oceanographic properties were studied next. All zoeal stages of M. couchi displayed reverse diel vertical migration. Abundance of early stages was correlated with chlorophyll a levels. An ontogenic shift in vertical distribution explained the results; earlier zoeal stages remain in the food-rich upper water column while later stages migrate to the bottom for settlement. This vertical migration behavior is likely to affect horizontal distribution of larvae. Indeed, global current patterns will result in low inter-annual variations in decapod larvae recruitment, but short term variations such as upwelling events will cause deviation from the expected dispersal pattern. Throughout development, from the embryo to metamorphosis into benthic juvenile, offshore decapods face many challenges. For the developing individual survivorship will depend heavily on food availability but also on the reserves passed on by the mother. Even though vertical migration behavior can allow the larvae to take advantage of depth varying currents for transport, the effect of general circulation pattern will superimpose local current and influence feeding conditions and affect dispersal and recruitment.

Simulação de sistemas solares passivos usando materiais de mudança de fase (PCMs)

O gradual consumo de energia primária a nível mundial deu origem a uma crise não só ambiental como também económica, proveniente das limitações das reservas energéticas e do fornecimento. Estas inquietações têm levado a um estudo cada vez mais aprofundado no que concerne à eficiência energética de edifícios. É neste contexto que surge o estudo da aplicação dos materiais de mudança de fase (PCM) na térmica dos edifícios. O presente trabalho consiste no estudo da influência da introdução de materiais de mudança de fase no comportamento térmico de um edifício. Foi analisada uma simulação numérica para um sistema solar passivo de ganho direto, por um programa de simulação designado EXTEND™. Efetuou-se, também, o estudo paramétrico de determinadas propriedades associadas aos materiais de mudança de fase. Após a análise, foi testado o impacto, em termos de conforto, da utilização de materiais de mudança de fase em sistemas solares passivos de ganho direto.

Balanço energético da operação de uma caldeira a biomassa

A pressão causada sobre os recursos energéticos é impulsionada pela evolução demográfica e pelo crescimento económico, que se vem registando principalmente nos países em desenvolvimento. Segundo várias estatísticas, a procura pela energia incide principalmente sobre os combustíveis fósseis, os quais, representam cerca de do mix de consumo mundial de energia primária. A incerteza sobre as reservas das fontes energéticas não renováveis, e os problemas ambientais derivados da sua conversão noutros tipos de energia, levaram a uma implementação de medidas com rumo à sustentabilidade e eficiência energética. Desta forma, o aumento da utilização sobre as fontes energéticas renováveis é de extrema importância. A biomassa é uma das fontes energéticas de maior relevo. A utilização de biomassa em caldeiras, oferece benefícios económicos, sociais e ambientais, tais como poupança financeira no combustível, conservação dos recursos fósseis e redução de emissões poluentes. As caldeiras desenvolvidas por empresas como a Ventil, são uma solução para a produção de energia térmica pela combustão da biomassa. Estes sistemas caracterizam-se por serem energeticamente eficientes nas várias componentes da sua operação. Assim, pretende-se fazer uma caracterização dos consumos energéticos associados à operação de uma caldeira Ventil de, nomeadamente o consumo de energia elétrica de equipamentos associados. Também será considerado um balanço energético da caldeira e determinado o seu rendimento. Desta forma, concluiu-se que a potência do sistema é de MJ/s, apresentando um rendimento de. Foram detetados motores mal dimensionados e apresentadas alternativas de substituição. Com um investimento de seria possível reduzir a fatura energética em, obtendo um payback de anos. No entanto, a fatura energética do sistema ultrapassa os anuais, sendo que do investimento é na compra do combustível e os restantes são relativos ao consumo de energia elétrica.