Essays about: "Brent"

Showing result 11 - 15 of 20 essays containing the word Brent.

  1. 11. Reality Check for the Value-at-Risk Estimates of the Energy Commodities

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dingquan Miao; [2014]
    Keywords : Energy commodities; Value-at-Risk VaR ; Historical Simulation HS ; Historical simulation with ARMA forecasting HSAF ; Volatility weighted historical simulation VWHS ; Business and Economics;

    Abstract : The fluctuations of the price in the energy market affect the households, firms and the government intuitions. We can perceive the information of the energy market from daily economic news. The entire society is concerned for the events that affect the energy market and the changing prices of the energy resources. READ MORE

  3. 12. Pricing of Liqueed Petroleum Gas in North-West Europe

    University essay from Lunds universitet/Matematisk statistik

    Author : Daniel Engström; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases, mainly propane and butane, used for various heating purposes and as vehicle fuel. This thesis focuses on examining the LPG market, evaluating a couple of driving factor hypotheses for the propane price and developing a model for forecasting of future propane prices in North-West Europe, both on daily and monthly horizons. READ MORE

  4. 13. Nordic electricity hedging : A comparison with other commodity market structures

    University essay from KTH/Tillämpad termodynamik och kylteknik

    Author : Ville Nurmos; Mattias Andersson; [2013]
    Keywords : Nordic electricity; steel billet; lean hogs; crude oil; hedging; future markets; commodities; market structure;

    Abstract : This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. READ MORE

  5. 14. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

    University essay from Göteborgs universitet/Graduate School

    Author : Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
    Keywords : Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

    Abstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE

  6. 15. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices

    University essay from Avdelningen för ekonomi

    Author : Khadar Ali Mohamed; [2011]
    Keywords : Value at Risk VaR ; Normaldistribution; Student t-distribution; Expected exception; Failure rate;

    Abstract : The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. READ MORE