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1、MODELING,VALUATIONANDRISKMANAGEMENTOFASSETSANDDERIVATIVESINENERGYANDSHIPPINGByPaulD.SclavounosDepartmentofMechanicalEngineeringMassachusettsInstituteofTechnologyOctober20111ABSTRACT:Derivativesarefinancialcontingentclaimsdesignedforthepricing,transferandmanagementofriskembeddedinund
2、erlyingsecuritiesinthefixedincome,equityandforeignexchangemarkets.Theirrapidgrowthspurredtheirintroductiontotheenergycommodityandshippingmarketswheretheunderlyingassetsarerealcommodities,crudeoil,refinedproducts,naturalgas,electricityandshippingtonnage.Riskneutralpricingandstochasti
3、cmodelsdevelopedforfinancialderivativeshavebeenextendedtoenergyderivativesforthemodelingofcorrelatedcommodityandshippingforwardcurvesandforthepricingoftheircontingentclaims.Thishasenabledthevaluationandriskmanagementofawiderangeofassetsandderivativesintheenergyandshippingmarkets.The
4、yincludestoragefornaturalgas,floatingstorageofcrudeoil,productsandLiquefiedNaturalGasintankers,refineries,powerplantsandutilityscalewindfarms,shippingstructuredsecurities,cargovesselsandshippingderivativesportfolios.KEYWORDS:Derivatives,riskneutralvaluation,riskmanagement,forwardcur
5、ves,futures,options,energycommodities,shipping,ForwardFreightAgreements,freightoptions,PrincipalComponentsAnalysis,CanonicalCorrelationAnalysis,hedging,stochasticoptimalcontrol,naturalgasstorage,crudeoilfloatingstorage,structuredsecurities,windenergy.Investmentsinenergyandshippingas
6、setsareexposedtointerestrate,commoditypriceandfreightraterisks.Themanagementoftheseriskshasledtotheintroductionandwidespreaduseofderivativeswhichhaveexperiencedexplosivegrowthoverthepastseveraldecades.Inthe2fixedincomemarketinterestratefuturesandfuturesoptionsemergedinthe1980’sinres
7、ponsetotheneedtohedgeinterestrateswaprisk.Thisledtothedevelopmentoffinancialmodelsforthearbitragefreeevolutionofthetermstructureofinterestratesandthepricingofawiderangeoffixedincomederivatives,layingthefoundationforthedevelopmentofanalogousmodelsforthearbitragefreeevolutionoftheforw
8、ardcurvesofphysical
