Weather Risk in the Natural Gas Market
|Author:||Mgr. Vyležík Tomáš|
|Year:||2010 - summer|
|Leaders:|| prof. Ing. Karel Janda M.A., Dr., Ph.D.
|Work type:|| Doctoral
|Awards and prizes:|
This thesis deals with the impact of weather on the natural gas market. We describe the development of the natural gas market in the recent past and its current structure. Both these contingencies contributed to the growing importance of hedging against weather risk.
Weather is unambiguously the primary determinant of demand in the natural gas market. For that reason, we build a model predicting consumption in the Czech natural gas market with respect to its temperature sensitivity.
Such an analysis frequently serves as the first indicator of the need for weather risk hedging, which is since the 90’s commonly done with weather derivatives. Therefore we go through so called burn analysis that determines the fair price of an option with regard to past temperature measurements.
|Downloadable:|| Rigorous Thesis of Vyležík