Publication: Four essays in commodity markets: asset allocation, pricing, and risk management
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2014-07
Defense date
2014-11-21
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Abstract
Our study is divided into two parts. The first part (Chapter 2 and Chapter
3) analyzes the multivariate distribution of commodity returns and its impact
on portfolio selection and tail risk measures. Chapter 2 solves the portfolio
selection problem of an investor with three-moment preferences when
commodity futures are part of the investment opportunity set, providing a
conditional copula model for the joint distribution of returns that allows
for time-varying moments and state-dependent tail behavior. Chapter 3
approximates the exposure of physical and financial players to energy price
risk using linear combinations of energy futures; it also analyzes the tail behavior of energy price risk using a dynamic multivariate model, in which
the vector of innovations is generated by different generalized hyperbolic
distributions.
The second part (Chapter 4 and Chapter 5) considers the valuation
of real assets and commodity derivatives in the presence of non-Gaussian
shocks in a continuous time framework. Specifically, Chapter 4 employs a
jump diffusion model for the price differentials and proposes a valuation
tool for the connection between two electricity markets. Chapter 5 proposes
a reduced-form model for the data generating process of commodity prices
together with a more flexible change of measure, capable of changing the
mean-reversion rate of Gaussian and jump processes under the risk-adjusted
probability measure.
Some parts of this thesis have been presented in different seminars,
workshops, and conferences. Chapter 2 was presented at the 2011 INFINITI
Conference on International Finance (Trinity College, Dublin), the 2011
Conference of the Multinational Finance Society (LUISS, Rome), the 2012
International Conference of the Financial Engineering and Banking Society
(ESCP, London), the 2012 International Finance and Banking Society
Conference (Valencia), the 2012 Meetings of the European Financial Management
Association (University of Barcelona), and Universidad Autónoma
de Madrid. A previous version of Chapter 3 was presented at the 2010
AEEE Conference on Energy Economics (University of Vigo). Chapter 4
was presented at the 2010 Finance Forum (CEU, Elche), the 2011 AEEE
Conference on Energy Economics (University of Barcelona), University of
Duisburg-Essen, and Birkbeck-University of London. Previous drafts of Chapter
5 were presented at the 2009 Conference on Energy Finance (Universities
of Oslo and Agder), the 2010 Industrial-Academic Forum on Commodities,
Energy Markets, and Emissions Trading (Fields Institute, Toronto), and the
2011 Energy and Finance (Erasmus School of Economics).
Description
Mención Internacional en el título de doctor
Keywords
Productos derivados financieros, Riesgo financiero