Energy related commodity futures [Elektronische Ressource] : statistics, models and derivatives / vorgelegt von Reik H. Börger

ECOD·ODNEICS·MLUTÄTUniversit¨at UlmInstitut fur¨ FinanzmathematikEnergy-Related Commodity FuturesStatistics, Models and DerivativesDissertation zur Erlangung des DoktorgradesDr. rer. nat.der Fakult¨at fur¨ Mathematik und Wirtschaftswissenschaftenan der Universit¨at Ulmvorgelegt vonDipl.-Math. oec. Reik H. B¨orger, M. S.Ulm, Juni 2007ISREVINU·ODNARUC·ODNii.iii.Amtierender Dekan: Professor Dr. Frank Stehling1. Gutachter: Professor Dr. Rudig¨ er Kiesel, Universit¨at Ulm2. Gutachter: Professor Dr. Ulrich Rieder, Universit¨at Ulm3. Gutachter: Professor Dr. Ralf Korn, Universit¨at KaiserslauternTag der Promotion: 15.10.2007ivAcknowledgementsThis thesis would not have been possible without the financial and scientific support byEnBW Trading GmbH.In particular, I received instructive input from Dr. Gero Schindlmayr. He suggestedmany of the problems that have been covered in this work. In numerous discussions hegave insight into physical and financial details of commodities and commodity markets.I also benefited from his suggestions on aspects of the mathematical models and theirapplicability to practical questions.I take the opportunity to thank my academic advisor Professor Dr. Ru¨diger Kiesel whoinitiated the collaboration with EnBW from the university’s side and who supported mystudies in every possible respect.