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

• Autor(a) principal: Benabou, Daniel
• Data de Publicação: 2018
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/24786
• topic: Forward energy curve; Multifactor HJM Model; Principal component analysis; Curva futura de energia; Modelo HJM Multifatorial; Análise de componentes principais; Splines; Monte Carlo; Economia; Energia elétrica - Brasil; Swaps (Finanças); Preços - Previsão; Monte Carlo, Método de; Análise de componentes principais

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.