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.

The evolving profile, role and relevance of the medical director in a pharmaceutical company

Over the last years, operations in Pharmaceutical Companies have become more complex, trying to adapt to new demands of the market environment. Overall, the observed change of paradigm requires adapting, mainly by the setting of new priorities, diversification of investments, cost containment strategies, exploring new markets and developping new sets of skills. In this context, new functions have been created, the relevance of some has diminished, and the importance of others has arisen. Amongst these, the medical structure within a Pharmaceutical Company, increased to meet demands, with companies adopting different models to respond to these needs, and becoming a pillar to the business. Assuming the leading role within a medical department, the medical director function often lies in the shadow. It is a key function within Pharma Industry, either on a country or on a Global basis. It has evolved and changed in the past years to meet the constant demands of a changing environment. The Medical Director is a highly skilled and differeniated professional who provides medical and scientific governance within a Pharmaceutical company, since early stages of drug development and up to loss of exclusivity, not only but also by leading a team of other physicians, pharmacists or life scientists whose functions comprise specificities that the medical director needs to understand, provide input to, oversee and lead. As the organization of Pharmaceutical Companies tends to be different, in accordance to values, culture, markets and strategies, the scope of activities of a Medical Director can be broader or may be limited, depending on size of the organization and governance model, but they must fulfil a large set of requirements in order to leverage impact on internal and internal customers. Key technical competencies for medical directors such as an MD degree, a strong clinical foundation, knowledge of drug development, project and team management experience and written and verbal skills are relatively easy to define, but underlying behavioural competencies are more difficult to ascertain, and these are more often the true predictors of success in the role. Beyond seamless proficiency in technical skills, at this level interpersonal skills become far more important, as they are the driver and the distinctive factor between a good and an excelent medical director. And this has impact in the business and in the people doing it.

Aeroportos e turismo residencial : do conhecimento às estratégias

O problema da nossa pesquisa resultou de uma ampla revisão de literatura que visava cruzar quatro áreas distintas, a gestão do conhecimento, as parcerias estratégicas, os aeroportos e o turismo residencial. Estas áreas permitiram-nos avaliar o quão diversificados podem ser os estudos turísticos e estabelecer relações de proximidade entre as diferentes temáticas. O objectivo do problema definido visava estabelecer uma relação entre a gestão integrada do conhecimento e o trabalho conjunto dos aeroportos com outras entidades do sector público e privado e a forma como esta podia contribuir de forma favorável para a delineação adequada de estratégias de negociação de rotas com as companhias aéreas, potenciando o desenvolvimento de novos segmentos de mercado turístico, como é o caso do turismo residencial, e originar alterações na procura turística de uma região. A metodologia adoptada para dar resposta à nossa investigação insere-se numa matriz desenvolvida no processo de elaboração do estudo. A matriz EGIC (espiral da gestão integrada do conhecimento) abrange diferentes métodos e técnicas de investigação, que passam pela aplicação de questionários (procura e oferta), entrevistas com especialistas e painel de debate, permitindo reunir dados para caracterizar o segmento de mercado do turismo residencial no Algarve. Esta matriz tem como objectivo reunir informação que permita sustentar o conhecimento de um segmento de mercado turístico e criar uma plataforma de apoio ao seu desenvolvimento futuro na região em estudo. Os resultados obtidos nas várias técnicas utilizadas permitiram-nos caracterizar este segmento de mercado e identificar quais as principais lacunas de informação existentes e sobre as quais é necessário incidir no futuro. Numa fase final do estudo apresentamos uma hipótese de estrutura de uma plataforma de apoio ao desenvolvimento integrado do turismo residencial, assim como as principais actividades que esta deveria integrar de modo a fazer face às necessidades da região algarvia.