Modelagem de curva futura de energia elétrica utilizando o modelo HJM Multifatorial aplicada ao mercado brasileiro de energia elétrica

Resumo

For the purpose of obtaining the structure of future swap energy curves in the Brazilian market, this paper focuses on the numerical implementation of the Heath, Jarrow and Morton model (1992) using market information regarding the swap contracts traded in the Brazilian energy system, with its multi-factor discrete form, the Brace, Garatek and Musiela (1997) model, also known as Market Model. The volatility structure is obtained with smooth curves and synthetic vertices, obtained thru swap contracts negotiated by a Brazilian energy trading company. Also, the volatility structures where analyzed with the Principal Components Analysis (PCA). The analyzed data where swap contracts stablished between the beginning of 2013 until the first quarter of 2015.

Ficha do documento

Tipo

Dissertação

Ano

2018

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/24786

Temas

EconomiaModelagem EconômicaInfraestrutura

Palavras-chave

Curva futura de energiaModelo HJM MultifatorialAnálise de componentes principaisSplinesMonte CarloForward energy curveMultifactor HJM ModelPrincipal component analysisEconomiaEnergia elétrica - BrasilSwaps (Finanças)Preços - PrevisãoMonte Carlo, Método de