Availability: Stochastic valuation of energy investments

Stochastic valuation of energy investments: important aspects for simulation and real option valuation

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Bibliographic Details
Main Author:	Weber, Florian (Author)
Format:	Thesis/Dissertation Book
Language:	English
Published:	2012
Subjects:	Hochschulschrift
Links:	http://mediatum.ub.tum.de/node?id=1096444 https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20121030-1096444-0-2 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026171278&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Physical Description:	XI, 206 S. graph. Darst.

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Record in the Search Index

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adam_text	CONTENTS SUMMARY I NOMENCLATURE V LIST OF FIGURES VII LIST OF TABLES X 1 INTRODUCTION 1 1.1 RESEARCH QUESTIONS 5 1.2 STRUCTURE 6 2 LITERATURE REVIEW 8 2.1 ELECTRICITY PRICE MODELING 8 2.2 REAL OPTION THEORY AND SIMULATION-BASED VALUATION OF INVESTMENTS AND REAL OPTIONS 10 2.2.1 FUNDAMENTALS AND BUILDING BLOCKS OF OPTION PRICING 10 2.2.2 VALUING DIFFERENT TYPES OF REAL OPTIONS 11 2.2.3 SIMULATION-BASED VALUATION OF INVESTMENTS AND REAL OPTIONS 13 3 VALUATION OF PROJECTS - ECONOMIC THEORY 16 3.1 MATHEMATICAL BACKGROUND ON OPTION- AND SIMULATION-BASED VALUATION 18 3.1.1 STOCHASTIC PROCESS AND MARTINGALE 18 3.1.2 EQUIVALENT MEASURE AND THE RADON-NIKODYM DERIVATIVE 19 3.1.3 GIRSANOV-THEOREM AND MARTINGALE REPRESENTATION 20 II HTTP://D-NB.INFO/1044277246 3.1.4 RISK-NEUTRAL MEASURE AND FUNDAMENTAL THEOREMS OF ASSET PRICING . 24 3.1.5 FEYMAN-KAC REPRESENTATION 26 3.2 DISCOUNTED CASH FLOW VALUATION 27 3.2.1 FREE CASH FLOW AND FREE CASH FLOW MODELING 27 3.2.2 COST OF CAPITAL 30 3.2.3 NET PRESENT VALUE 33 3.3 REAL OPTION THEORY 36 3.3.1 INTRODUCTION 36 3.3.2 FINANCIAL AND REAL OPTIONS 37 3.3.3 TYPES OF REAL OPTIONS 39 3.4 THEORY OF STOCHASTIC VALUATION OF INVESTMENTS 44 3.4.1 APPROACHES TO DEAL WITH UNCERTAINTY AND COMPLEXITY 44 3.4.2 STOCHASTIC VALUATION OF INVESTMENTS 46 3.5 CONCLUDING REMARKS 56 4 ELECTRICITY MARKET AND ELECTRICITY PRICE MODELING 58 4.1 THE ELECTRICITY MARKET IN GERMANY 58 4.1.1 LIBERALIZATION OF THE ELECTRICITY MARKETS 58 4.1.2 ELECTRICITY PRICES 60 4.2 HISTORICAL PRICE DATA ANALYSIS 64 * 4.2.1 NORMALITY TEST 66 4.2.2 SEASONALITY AND TREND ANALYSIS 69 4.2.3 JUMPS 78 4.3 ELECTRICITY PRICE MODEL 85 4.4 ELECTRICITY PRICE MODEL CALIBRATION 88 4.4.1 SEASONALITY FUNCTION 88 4.4.2 MEAN REVERSION RATE 90 4.4.3 VOLATILITY ANALYSIS 94 4.4.4 JUMP PROCESS 97 4.4.5 CORRELATION AND COMBINATION ANALYSIS 102 4.5 EMPIRICAL RESULTS OF THE ELECTRICITY PRICE MODEL 105 4.5.1 STATISTICAL AND TRAJECTORY FIT 105 III 4.5.2 GOODNESS-OF-FIT 108 5 STOCHASTIC VALUATION OF ENERGY INVESTMENTS 112 5.1 REAL OPTION PROJECT FINANCED VALUATION TOOL 112 5.1.1 FORECASTING OF VOLATILITY AND CORRELATION 115 5.1.2 EQUIVALENT MARTINGALE TRANSFORMATION BY THE ESSCHER TRANSFORMATION 122 5.1.3 IMPORTANT INPUT FACTORS AND SWITCHING ALGORITHM 131 5.2 THEORETICAL FRAMEWORK OF THE ANALYSES 140 5.2.1 ASSUMPTIONS REGARDING THE CAPITAL MARKET AND TRANSFORMATION OF STOCHASTIC PROCESSES 140 5.2.2 EVALUATED SPECIFIC PROJECT 143 5.2.3 EVALUATED GENERIC PROJECTS 146 5.2.4 MODEL COMPLEXITY 148 5.2.5 EVALUATION METHODOLOGY 151 5.3 RESULTS 153 5.3.1 FORECASTING COMPLEXITY 155 5.3.2 VALUATION COMPLEXITY 162 5.3.3 ANALYSIS OF INFLUENCE OF THE JUMP PROCESS PARAMETERS ON THE VALUE OF. A SWITCHING OPTION 169 6 CONCLUSION 181 IV
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spellingShingle	Weber, Florian Stochastic valuation of energy investments important aspects for simulation and real option valuation
subject_GND	(DE-588)4113937-9
title	Stochastic valuation of energy investments important aspects for simulation and real option valuation
title_auth	Stochastic valuation of energy investments important aspects for simulation and real option valuation
title_exact_search	Stochastic valuation of energy investments important aspects for simulation and real option valuation
title_full	Stochastic valuation of energy investments important aspects for simulation and real option valuation Florian Weber
title_fullStr	Stochastic valuation of energy investments important aspects for simulation and real option valuation Florian Weber
title_full_unstemmed	Stochastic valuation of energy investments important aspects for simulation and real option valuation Florian Weber
title_short	Stochastic valuation of energy investments
title_sort	stochastic valuation of energy investments important aspects for simulation and real option valuation
title_sub	important aspects for simulation and real option valuation
topic_facet	Hochschulschrift
url	http://mediatum.ub.tum.de/node?id=1096444 https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20121030-1096444-0-2 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026171278&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT weberflorian stochasticvaluationofenergyinvestmentsimportantaspectsforsimulationandrealoptionvaluation

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Call Number:	0001 DM 31474 Floor plan
Copy 1	Available for loan On Shelf