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Swing option valuation on electricity and natural gas markets
Uher, Martin ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
Swing options had been part of natural gas market before its embedded option feature was appreciated. The flexibility of delivery is valuable because of characteristic features of energy commodities as non-storability, high frequency of events and seasonality. Swing options enable this flexibility. Holder of the option is allowed to react to market situation in flexible way and change the amount of delivery up or down in some known intervals. Total deviation from negotiated amount can't exceed some boundaries in case of "take-or-pay" condition. It is not unique general valuation form of such flexible contracts as swing options. General definition of Longstaff Schwartz Least Square approximation method (LSM) is provided at first. Then it is shown other standard valuation concept as finite difference method. It is also mentioned tree method and more complex dynamic stochastic programming method. Analysis of energy commodities time series of central Europe is done and it is shown example of LSM approach use in valuing swing option with underlying asset of base load electricity in Czech Republic.
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The construction of the risk surcharges for the imbalances trading on OTE market
Maštalíř, Jakub ; Brada, Jaroslav (advisor) ; Blaheta, Petr (referee)
This master thesis approaches the energy markets from the point of view of an electricity trader acting on the retail markets, in particular an electricity supplier to the end customers. The first part introduces the reader into the basic practices applied in the management process of the portfolio of end customers, which includes metering and evaluation of the real take-off, planning and prediction and, of course, final evaluation of the imbalances. Second part explains the principles of balance management in case of the entire ČEPS electrical grid, mechanics of the imbalances settlement and describes its actual setting with focus on the way it motivates the market participants for minimization of their own imbalances and therefore improvement of the overall electrical grid balance. The final part describes the basic construction of the risk surcharges, which the supplier adds to the commodity price to cover the costs caused by the existence of his end customers' imbalances. Furthermore, it is shown how the dependence on the system imbalance influences the size of the risk surcharge and the basic model is extended to include even this factor. Because the supplier does not set the surcharge at the level of individual end customer but for the entire portfolio, the functioning and power of the portfolio effect, which brings an extra savings in the imbalances settlement costs, is also explored in the final part. The possibility of dependence presence in the imbalances of individual end customers is also accounted for. For the first time in the Czech academic literature the economic problems that are faced by the electricity supplier to the end customers are examined and the analysis and solution of one important problem is provided in the full picture. However, the most important contribution of this master thesis lays in the opening of this topic to further examination on the academic ground.
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An analysis and a risk of spot energy contracts
Martinec, Adam ; Paholok, Igor (advisor) ; Fičura, Milan (referee)
This diploma thesis deals with spot energy trading in the Czech Republic. The first section focuses on legal market environments, market members, and types of individual markets. This serves as an introduction to the second and the final section, which answers the question of the advantageousness of spot energy trading. The final section illustrates a practical demonstration of an optimization analysis of energy costs in a particular company. The contribution of this thesis, in my opinion, is the practical description of the calculation of energy costs in one company or an association of companies, which are considering the spot energy purchase, and a transfer of the responsibility for the deviation.
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Energy policy and its liberalisation in the EU and the USA - comparison
Nistorenco, Taisia ; Bolotov, Ilya (advisor) ; Čajka, Radek (referee)
This bachelor thesis deals with the comparison of important aspects of energy policies of the USA and EU in relation to electricity and natural gas. It is divided in three part, where the first one offers an overview of energy capacities of the two regions with regard to the differences in natural, population and geopolitical conditions and describes ways of political and legislative development of the energy policies. Second part presents a theoretical concept of electricity and natural gas market liberalisation and explains implementation of respective legislation in EU and the USA. The third part of the thesis contains analysis of the impact of liberalisation and other factors on the price development on retail and wholesale markets. At the end is presented general information on the state of energy security in both regions and on the position of the renewable energy resources.
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The Financial analysis as one of the factor in choosing a supplier of electricity.
Ondráčková, Pavla ; Machek, Ondřej (advisor) ; Slunčík, Peter (referee)
This bachelor thesis on the topic of "The Financial analysis as one of the factor in choosing a supplier of electricity" aims to point out another interesting factor in choosing a supplier of electricity, while using methods of financial ratios. The study evaluate ratios of the five cheapest suppliers of electricity and based on the analysis of the company, will/ will not recommend it as a suitable supplier. The thesis is divided into three main parts. The first part focuses on the energy market in the Czech Republic and introduces the general requirements of the financial analysis. The second part, called methodological apparatus, used to define the calculation of individual indicators of the financial analysis used in the practical part of this work. The last practical part of this bachelor thesis take readers through the process of choosing their electricity supplier and expresses to the five cheapest electricity providers based on the results of the financial analysis.
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Influence of EU provisions on electricity markets in member states
Máka, Matěj ; Bič, Josef (advisor) ; Buryan, Šimon (referee)
This bachelor's thesis is devoted to the impact of EU energy policy provisions on electricity markets in the member states of the European Union. The thesis is divided into three chapters that are then divided into subheadings. In the first chapter there are defined the essentials of the electricity markets, it summarises the electricity prices development and is presented a comparison with other regions. The second chapter contains the most important EU provisions with an impact on the electricity markets and at the end of this chapter the impacts are analysed and evaluated. The third chapter is aimed to a case study of the Central Europe that inspects, with chosen statistical methods, particular impacts on an electricity market in each country of the region as well as impacts on the single market in the region.
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Porovnání sezónních změn v distribuci impedance dřeva a sestavení vzorníku pro vyhodnocování snímků elektrického impedančního tomografu
Chmel, Ladislav
The bachelor thesis deals with physical principles of the electrical impedance tomograph Picus (EIT). Moisture distribution in different tree species, norway spruce (Picea abies), silver birch (Betula pendula), pedunculate oak (Quercus robur) and thein seasonal change. Measurement is always carried out on the same thirty trees, fifteen trees from the urban environment and fifteen trees from the forest environment. Tomography measurements are proceed every month of the year, I have drawn up a swatch tomography from these results to evaluace images made by the device. Changes distribution of the impedance wood are compared among the tree Gross and thein habitats.
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Vliv dotačního programu Zelená úsporám na spotřebu elektrické energie a plynu v ČR
Václavská, Michaela
This diploma thesis focuses on the influence of Green savings programme on the consumption of electricity and gas in Czech Republic. The influence of Green savings programme is examined during the period 2009--2013. The prediction of future development of the consumption of electricity and gas based on gained results is made for the period 2014--2019. This diploma thesis also focuses on the influence of Green saving programme on areas containing production of electricity from renewable sources, emissions of greenhouse gases into the atmosphere and then it focuses on the economic aspects as expenses of household on energy, employment within construction industry, inflation and gross domestic income of Czech Republic.
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