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Game Theoretic and Financial Models for Energy Commodities and Futures Prices.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Game Theoretic and Financial Models for Energy Commodities and Futures Prices./
Author:	Funk, Jacob James.
Description:	1 online resource (250 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-05(E), Section: B.
Contained By:	Dissertation Abstracts International79-05B(E).
Subject:	Operations research. -
Online resource:	click for full text (PQDT)
ISBN:	9780355480474

Game Theoretic and Financial Models for Energy Commodities and Futures Prices.
Funk, Jacob James.

Game Theoretic and Financial Models for Energy Commodities and Futures Prices. - 1 online resource (250 pages)

Source: Dissertation Abstracts International, Volume: 79-05(E), Section: B.

Thesis (Ph.D.)--Princeton University, 2017.

Includes bibliographical references

This thesis develops models for commodity markets in which the exchange of futures plays a central role in determining the behavior of prices. We approach this problem from two sides, first by assessing the impact of a futures exchange on a game theoretic model for a commodity market and second by looking at the impact of financialization in an existing futures exchange.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355480474Subjects--Topical Terms:

573517
Operations research.
Index Terms--Genre/Form:

554714
Electronic books.

Game Theoretic and Financial Models for Energy Commodities and Futures Prices.
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245 1 0 $a Game Theoretic and Financial Models for Energy Commodities and Futures Prices.
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300 $a 1 online resource (250 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-05(E), Section: B.
500 $a Adviser: Ronnie Sircar.
502 $a Thesis (Ph.D.)--Princeton University, 2017.
504 $a Includes bibliographical references
520 $a This thesis develops models for commodity markets in which the exchange of futures plays a central role in determining the behavior of prices. We approach this problem from two sides, first by assessing the impact of a futures exchange on a game theoretic model for a commodity market and second by looking at the impact of financialization in an existing futures exchange.
520 $a We propose a formal framework for a Cournot differential game which includes the possibility of stochastic drivers of inventory and demand. Using this framework, we establish results about market prices and the behavior of players in response to both stochastic and deterministic changes in market conditions. We also give several conditions that can guarantee desirable properties such as the existence of market prices and nondegenerate equilibrium strategies. The Cournot differential game is then used as a framework to build up a model for a futures market that functions in continuous time. Comparing the results from different models allows us to assess the impact of introducing a futures exchange to a market for energy commodities.
520 $a In the final section, we shift focus to a short-term model that describes the behavior of individual futures prices. We examine the impact of a type of storage financialization caused by the trading of options meant to replicate the payoff of owning a storage facility for a fixed period of time. We find that investing in the financial approximation of storage has a much different impact than investing in physical storage, increasing futures price volatility and reducing the correlation between the prices at different delivery dates.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Operations research. $3 573517
650 4 $a Finance. $3 559073
650 4 $a Mathematics. $3 527692
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710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Princeton University. $b Operations Research and Financial Engineering. $3 1182940
773 0 $t Dissertation Abstracts International $g 79-05B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10637507 $z click for full text (PQDT)