Energy markets [Elektronische Ressource] : risk management, optimal liquidation, and derivatives / vorgelegt von Kevin Metka

Universität UlmInstitut für FinanzmathematikEnergy MarketsRisk Management, Optimal Liquidation, and DerivativesDissertation zur Erlangung des DoktorgradesDr. rer. nat.der Fakultät für Mathematik und Wirtschaftswissenschaftenan der Universität UlmVorgelegt vonDipl.-Math. oec., MSc., Kevin Metkaim Januar 2011Amtierender Dekan: Prof. Dr. Werner Kratz1. Gutachter: Prof. Dr. Rüdiger Kiesel2.hter: Dr. Ulrich RiederTag der Promotion: 24.03.2011AcknowledgementsApart from the many contributing individuals, this thesis would not have been possi-ble without the financial support through a scholarship, granted by the EnBW TradingGmbH. In particular, I would like to thank Dr. Sven-Olaf Stoll and Klaus Wiebauer fortheir scientific support and trust in my work. In addition, they suggested many of thepractical problems addressed in this thesis. By answering uncounted questions aboutenergy markets, they contributed as a helpful and valuable source.I am especially indebted to my Doktorvater, Professor Dr. Rüdiger Kiesel, who hasbeen conducive to this thesis in multiple ways. (1) He initiated the joint work withthe EnBW Trading GmbH, establishing the financial support. (2) Technical, as well asconceptional issues were always discussed and resolved. This held the scientific work ontrack. (3) His confidence in my work kept me motivated and made me adhere to themain objectives, which constitute the contributions of this thesis.Professor Dr.