National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Pricing of Power Derivatives
Foukal, Viktor ; Witzany, Jiří (advisor) ; Vacek, Vladislav (referee)
The main target of this thesis is to summarize and demonstrate the main characteristic of power markets and trying to find out electricity spot model. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on South Easter Europe. Thesis continues with development of consumption function and theoretical concepts of Demand/Capacity ratio which is used in short term/spot modeling and serve to identify a risk of potential increase in volatility. After deriving fundamental models I will continue with stochastic model - Volatility Regime model with Jump diffusion. I used all these knowledge and observed patterns in order to evaluate illiquid power options with daily settlement.
Option strategies
Foukal, Viktor ; Witzany, Jiří (advisor) ; Baran, Jaroslav (referee)
The main objective of this thesis is to acquaint the reader with the main types of option strategies, with the principles of functioning, with the methods of creating and analyzing these strategies. The practical part focus on valuation of tested option strategies, determination of the conditions for entry into strategies, prediction of future development of index S&P 500 by Monte Carlo simulation and finding relation between implied volatility of options and underlying asset itself.

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