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.

Nanosensor for assessing the risk of a cardiovascular disease

The incidence of cardiovascular diseases (CVD) has been increasing according to the European and global statistics. Thus, the development of new analytical devices, such as biosensors for assessing the risk of CVD could become a valuable approach for the improvement of healthcare service. In latest years, the nanotechnology has provided new materials with improved electronic properties which have an important contribution in the transduction mechanism of biosensors. Thus, in this thesis, biosensors based on field effect transistors with single-walled carbon nanotubes (NTFET) were developed for the detection of C-reactive protein (CRP) in clinical samples, that is, blood serum and saliva from a group of control patients and a group of CVD risk patients. CRP is an acute-phase protein, which is commonly known as the best validated biomarker for the assessment of CVD, the single-walled carbon nanotubes (SWCNT) were applied as transduction components, and the immunoreaction (interaction between the CRP antigen and the antibodies specific to CRP) was used as the mechanism of molecular recognition for the label-free detection of CRP. After the microfabrication of field effect transistors (FET), the screening of the most important variables for the dispersion of SWCNT, the assemblage of NTFET, and their application on standard solutions of CRP, it was found that NTFET respond accurately to CRP both in saliva and in serum samples, since similar CRP levels were found with the NTFET and the traditional methodology (ELISA technique). On the other hand, a strong correlation between salivary and serum CRP was found with NTFET, which means that saliva could be used, based on non-invasive sampling, as an alternative fluid to blood serum. It was also shown that NTFET could discriminate control patients from CVD risk patients, allowing the determination of a cut-off value for salivary CRP of 1900 ng L-1, which corresponds to the well established cut-off of 3 mg L-1 for CRP in serum, constituting an important finding for the possible establishment of a new range of CRP levels based on saliva. According to the data provided from the volunteer patients regarding their lipoprotein profile and lifestyle factors, it was concluded that the control and the CVD risk patients could be separated taking into account the various risk factors established in literature as strong contributors for developing a CVD, such as triglycerides, serum CRP, total cholesterol, LDL cholesterol, body mass index, Framingham risk score, hypertension, dyslipidemia, and diabetes mellitus. Thus, this work could provide an additional contribution to the understanding of the association of biomarkers levels in serum and saliva samples, and above all, cost-effective, rapid, label-free, and disposable NTFET were developed, based on a noninvasive sampling, for the assessment of CVD risk, thus constituting a potential point-of-care technology.