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.

Modelling the Minho river plume intrusion into the rias baixas

The Minho River, situated 30 km south of the Rias Baixas is the most important freshwater source flowing into the Western Galician Coast (NW of the Iberian Peninsula). This discharge is important to determine the hydrological patterns adjacent to its mouth, particularly close to the Galician coastal region. The buoyancy generated by the Minho plume can flood the Rias Baixas for long periods, reversing the normal estuarine density gradients. Thus, it becomes important to analyse its dynamics as well as the thermohaline patterns of the areas affected by the freshwater spreading. Thus, the main aim of this work was to study the propagation of the Minho estuarine plume to the Rias Baixas, establishing the conditions in which this plume affects the circulation and hydrographic features of these coastal systems, through the development and application of the numerical model MOHID. For this purpose, the hydrographic features of the Rias Baixas mouths were studied. It was observed that at the northern mouths, due to their shallowness, the heat fluxes between the atmosphere and ocean are the major forcing, influencing the water temperature, while at the southern mouths the influence of the upwelling events and the Minho River discharge were more frequent. The salinity increases from south to north, revealing that the observed low values may be caused by the Minho River freshwater discharge. An assessment of wind data along the Galician coast was carried out, in order to evaluate the applicability of the study to the dispersal of the Minho estuarine plume. Firstly, a comparative analysis between winds obtained from land meteorological stations and offshore QuikSCAT satellite were performed. This comparison revealed that satellite data constitute a good approach to study wind induced coastal phenomena. However, since the numerical model MOHID requires wind data with high spatial and temporal resolution close to the coast, results of the forecasted model WRF were added to the previous study. The analyses revealed that the WRF model data is a consistent tool to obtain representative wind data near the coast, showing good results when comparing with in situ wind observations from oceanographic buoys. To study the influence of the Minho buoyant discharge influence on the Rias Baixas, a set of three one-way nested models was developed and implemented, using the numerical model MOHID. The first model domain is a barotropic model and includes the whole Iberian Peninsula coast. The second and third domains are baroclinic models, where the second domain is a coarse representation of the Rias Baixas and adjacent coastal area, while the third includes the same area with a higher resolution. A bi-dimensional model was also implemented in the Minho estuary, in order to quantify the flow (and its properties) that the estuary injects into the ocean. The chosen period for the Minho estuarine plume propagation validation was the spring of 1998, since a high Minho River discharge was reported, as well as favourable wind patterns to advect the estuarine plume towards the Rias Baixas, and there was field data available to compare with the model predictions. The obtained results show that the adopted nesting methodology was successful implemented. Model predictions reproduce accurately the hydrodynamics and thermohaline patterns on the Minho estuary and Rias Baixas. The importance of the Minho river discharge and the wind forcing in the event of May 1998 was also studied. The model results showed that a continuous moderate Minho River discharge combined with southerly winds is enough to reverse the Rias Baixas circulation pattern, reducing the importance of the occurrence of specific events of high runoff values. The conditions in which the estuarine plume Minho affects circulation and hydrography of the Rias Baixas were evaluated. The numerical results revealed that the Minho estuarine plume responds rapidly to wind variations and is also influenced by the bathymetry and morphology of the coastline. Without wind forcing, the plume expands offshore, creating a bulge in front of the river mouth. When the wind blows southwards, the main feature is the offshore extension of the plume. Otherwise, northward wind spreads the river plume towards the Rias Baixas. The plume is confined close to the coast, reaching the Rias Baixas after 1.5 days. However, for Minho River discharges higher than 800 m3 s-1, the Minho estuarine plume reverses the circulation patterns in the Rias Baixas. It was also observed that the wind stress and Minho River discharge are the most important factors influencing the size and shape of the Minho estuarine plume. Under the same conditions, the water exchange between Rias Baixas was analysed following the trajectories particles released close to the Minho River mouth. Over 5 days, under Minho River discharges higher than 2100 m3 s-1 combined with southerly winds of 6 m s-1, an intense water exchange between Rias was observed. However, only 20% of the particles found in Ria de Pontevedra come directly from the Minho River. In summary, the model application developed in this study contributed to the characterization and understanding of the influence of the Minho River on the Rias Baixas circulation and hydrography, highlighting that this methodology can be replicated to other coastal systems.

Velhice na cultura contemporânea: um estudo sobre a perda emocional profunda

A velhice é uma etapa da vida marcada por múltiplas perdas simbólicas e/ou concretas que, embora se apresentem inelutáveis e façam parte integrante do ciclo da vida, são, para o sujeito que as vivencia, experiências penosas que obrigam a novas formas de existir. As sociedades contemporâneas, sociedades hedonistas onde a morte é tabu e o tempo um bem precioso, condicionam amplamente a forma como as pessoas idosas, especialmente as institucionalizadas, lidam com a perda, uma vez que este processo implica a aceitação de uma nova vida e a (re)estruturação da identidade própria. Não alheias ao condicionamento social, a cultura e as mundividências culturais afetam, de forma decisiva, o modo como a adaptação à perda decorre na quotidianidade das instituições de acolhimento para pessoas idosas. A presente investigação, elaborada no âmbito dos Estudos Culturais, assume um carácter qualitativo, com contornos etnográficos, e analisa 15 “mini-histórias” de vida de indivíduos com mais de 75 anos de idade, residentes em estruturas residenciais, e que sofreram uma perda emocional profunda por morte do cônjuge, já na idade adulta avançada. Num momento em que a institucionalização permanente em estruturas de acolhimento é uma das respostas sociais mais utilizadas pelos indivíduos idosos e suas famílias, procuramos, com este estudo, conhecer as condições críticas presentes na interiorização de um perfil adaptativo ou não adaptativo à perda e que, consequentemente, condicionam a forma como se mobilizam as respostas adaptativas na (re)composição do quotidiano do sujeito idoso enlutado.