Nyhet | 2016-02-24 | 15:44

Using fundamentals for shaping the forward curve

Master's thesis by Stefan Rump, Master of Science in Regenerativen Energien at Technische Universität, Hamburg-Harburg.

Supervisor at Vattenfall: Carl Johnzén.

Summary

The energy landscape is undergoing a dramatic change, due to the macroeconomic landscape, the fuel prices and the anticipated consequences of the climate change. Purely financial models have failed to anticipate these disruptive changes in the past and might continue to do so in the future.

The scope of the thesis is the development and investigation of models that allow for an intraday shaping of the forward curve, which is relying on fundamental instead of quantitative data. Two models could be developed, which in key characteristics, are slightly worse or equally good as the quantitative forward curve. Since they are relying on demand and supply, scenario analysis based on these models is possible.