Tid: 21 februari 2005 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Niclas Gregoriusson.
Titel: Hedging av råolja och raffinerade produkter samt prissättning av råoljederivat. (Examensarbete)
Sammanfattning: This thesis investigates how risks associated with price fluctuations of crude oil can be reduced and how a now existing hedging strategy can be improved. The current hedging strategy does not take into consideration that the volatility of the spot price can differ from the volatility of the forward price.
Therefore, a minimum-variance hedging strategy is constructed, where the optimal volume of derivative is given by the correlation between the spot price and the forward price and the relationship between its respective volatilities. One hedging strategy each is constructed for the purchase of crude oil and the sale of refined products. The correlation between the spot price and the forward price of crude oil is not perfect, because the correlation is always less than one. Therefore, the physical bargain must be hedged with a larger volume of derivative in order to achieve as efficient price reduction as possible.
A regression model for prediction of future spot prices is also constructed. The spot prices of crude oil in the investigated data follow an upward trend. Therefore, this prediction is not only based on today's spot price but also on historical spot prices. The expected spot price at some future time is approximated with the prediction at the same time. With this expected future spot price and an estimate of the market price for risk, the price of any arbitrary oil contingent claim can be calculated with the arbitrage-free pricing model derived in this thesis. The price of a Brent futures contract and the price of a fictitious European Brent crude option are calculated with the help of this pricing model. By comparing the calculated arbitrage-free future price with the observed market price of the same futures contract, an opinion of whether the market price is over- or undervalued can be obtained. A speculative transaction can then be made on the basis of this information.
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