Download Individuální studijní plán studentů doktorského studia na IES

Individual study plan of students of doctoral study at IES
(Fill electronically, submit signed form to the secretariat of IES, put the file to your web page.)
Student’s data
Name and surname
Year of beginning of studies
Form of studies
Advisor’s name
Title of dissertation
Tomáš Vyležík
2009/2010
Full-time
Prof. Ing. Karel Janda M.A., Dr., Ph. D.
Financial Derivatives in Energy Markets
Planned harmonogram of examinations (code/title/semester)
2009/2010
WS: ELBF – Economics and Law in Banking and Finance
SS: ELBF – Economics and Law in Banking and Finance
2010/2011
WS: ELBF – Economics and Law in Banking and Finance
SS: ELBF – Economics and Law in Banking and Finance
2011/2012
WS: ELBF – Economics and Law in Banking and Finance
SS: ELBF – Economics and Law in Banking and Finance
SS: State doctoral exam
2012/2013
WS: ELBF – Economics and Law in Banking and Finance
WS: Pre-defense
SS: ELBF – Economics and Law in Banking and Finance
SS: Defense
Planned harmonogram of teaching (code/title/semester)
Teaching 2009/2010:
WS: JEB008 Mikroekonomie II
SS: JEB007 Mikroekonomie I
Teaching 2010/2011:
WS: JEB008 Mikroekonomie II
SS: JEB007 Mikroekonomie I
Teaching 2011/2012:
WS: JEB008 Mikroekonomie II
SS: JEB007 Mikroekonomie I
Teaching 2011/2012:
WS: JEM003 Advanced Microeconomics I
SS: JEM013 Microeconomics A II
Work on dissertation
Synopsis (1- 2 pages)
Financial derivatives have already proved to be useful and largely employed instrument in the
petroleum, natural gas or electricity industry. Since deregulation of energy markets has taken a
radical turn in the recent past, these instruments are essential in preventing from large financial
losses in the energy environment that going through monumental changes. Moreover,
significance of derivatives was further stressed by sustainable increase of both oil and gas
prices during the last years that evoked even higher applicability of these over-the-counter or
exchange traded financial instruments by energy companies.
Despite the fact that the value financial derivatives is usually determined by the value of
physical commodities or financial securities used as underlying assets, there exist also special
kinds of derivatives that do not have the value based on the price of an underlying asset.
Because these non-traditionally priced instruments are still a relatively new product, they are
usually used only rarely, especially in Europe. A typical example of this kind of instruments is a
weather derivative that has weather, which is not traded, as its underlying. Every successful
application of these new instruments, which are generally applied in the U.S., therefore
discovers new space for potential financial benefits within energy markets.
Derivatives generally serve as instruments of transferring risks to those that are willing and able
to bear it. The most commonly employed function of derivatives in energy markets is hedging of
price risk. Even the appearance of derivatives in energy markets was due price uncertainty that
had crept into newly competitive markets within the 90s. Hence, the company with energy-price
risk takes a position in a derivative instrument, e.g. swap, option or future, that gives an equal
and opposite financial exposure to the underlying physical position to protect against major
adverse price changes.
Companies are continuously trying to disclose the best possible practices in identifying,
measuring, monitoring, and controlling risks, which would facilitate efficient application energy
derivatives in their hedging strategies. Derivatives should be therefore properly appointed in the
way that highly corresponds to company’s needs. Different valuation models are applied,
including both traditional and modern manners, in order to help to design the most favourable
instruments. This greatly helps, considering also the structure of a given market, in making the
decision on potential hedging occasions.
Beside price risk, there exist also several other contingencies where risks in energy may occur.
With ongoing deregulation, application of derivatives also in new and uncommon spheres of
interest could largely limit threats of potential financial losses of energy companies.
One of the main opportunities was brought by so called weather derivatives that cover potential
risks linked to changeable weather. These instruments, which protect from both one time
weather events and adverse weather conditions in a longer term, were used for the first time in
the U.S. during the 90s. Because weather derivatives are still quite young instruments, just few
information on them are attainable yet, especially in the Czech Republic. For that reason,
analysis of the potential of weather derivatives in the Czech market should be beneficial.
In my future research, I would like to identify relevant fields where risks in energy markets
occur. A sound analysis of conditions in the Czech energy markets is fundamental in order to
identify areas where the implementation of hedging with derivatives could be profitable. Pros
and cons of various derivatives’ designs and appropriate valuation methods, which would
precisely reflect needs in the Czech energy markets, will be revealed in my further postgraduate
research. This should help companies to discover feasible and profitable opportunities, in which
could be employed standard or non-standard sorts of derivatives.
My survey will be therefore addressed not only to the traditional fields where derivatives are
already being used, but also to some deprived areas of energy markets, in which these
instruments have not been implemented yet. To these challenges belongs also one of the most
important tasks in energy industry for the future, which consists in protecting against financial
effects of adverse behaviour of weather.
Basic literature
Alaton, P. (2002): On Modelling and Pricing Weather Derivatives. Fat Tails Financial Analysis
AB, Stockholm.
Buckley, N.; Hamilton, A.; Harding, J.; Roche, N.; Ross, N.; Sands, E; Skelding, R.;
Watford, N.; Whitlow, H. (2002): European Weather Derivatives. Working paper.
Clewlow, L. and Strickland, C. (2000): Energy Derivatives. Pricing and Risk Management.
Lacima Publications.
de Joode, J.; Kingma, D.; Lijesen, M.; Mulder, M.; Shestalova, V. (2004): Energy Policies
and Risks on Energy Markets – A cost-benefit analysis, ISBN 90-5833-161-X.
Eydeland, A. and Wolyniec, K. (2003): Energy and Power Risk Management. New
Developments in Modeling Pricing and Hedging. Wiley.
Garman, M.; Blanco, C.; Erickson, R. (2000): Weather Derivatives: Instruments and Pricing
Issues. 2000.
Hull, J. C. (2003): Options, Futures and Other Derivatives. Prentice Hall.
Jouini, E., Cvitanic, J. and Musiela, M. (2001): Option Pricing, Interest Rates and Risk
Management. Cambridge U. Press.
Nelken, I. (2000): Weather Derivatives – Pricing and Hedging. Super Computer Consulting,
Inc.
Ruck, T. (2001): Hedging Weather Risk for Improved Financial Performance. Energy Koch
Trading LP.
Sturm, F. J. (1997): Trading natural gas: cash, futures, options and swaps. PennWell
Publishing Company. 1997.
Turvey, C. G. (2001): The Pricing of Degree-day Weather Options. Agricultural Finance
Review, 2005, vol. 65, issue 1, pp. 59 – 85
West, J. (2002): Benchmark Pricing of Weather Derivatives. University of Technology, Sydney.
Zeng, L. (2000): Weather Derivatives and Weather Insurance: Concept, Application, and
Analysis. Risk Analysis and Technologies, E. W. Blanch Company, Minneapolis.
Harmonogram of works
2009/2010
Work on the first dissertation paper with expected name “Weather Risk in the Czech Gas Market“
Submission of a 3-year grant to Grant Agency of Charles University with the topic “Hedging Risks in
Energy Markets“ (no other member in the team applying for the grant).
2010/2011
Work on the second dissertation paper with expected name “Hedging Risks in the Czech Natural Gas
Market”
Solving of 3-year grant or, if the grant was rejected in the previous year, submission of a new one.
2011/2012
Finishing the dissertation with the third paper with expected name: “Application of Financial Derivatives
in Energy Markets”
Solving of grant
2012/2013
WS: Pre-defense
Finalization of grant
SS: Defense
Planned publication of results
2009/2010
WS: Submission of paper based on the diploma thesis with the expected name “Changes in the Natural Gas
Market” to IES WP. The paper will be co-authored with the consultant of the diploma thesis Tomáš Václavík.
SS: Submission of “Changes in the Natural Gas Market” to the EconLit journal. In the case of very positive
evaluation of the WP version, we are planning to submit the paper first to Energy Economics journal (5year IF =
2.726), in the case of rejection in this journal or less positive evaluation of the WP, we are going to send the paper
to Energy Studies Review or Journal of Energy and Development (both EconLit without IF). The next step in our
submission tree is Prague Economic Papers.
SS: Submission of paper based on the rigorous thesis with the expected name “Weather Risk in the Natural
Gas Market” to IES WP. The paper will be co-authored with the consultant of the diploma thesis Tomáš
Václavík.
2010/2011
WS: Submission of “Weather Risk in the Natural Gas Market” to the EconLit journal. In the case of positive
evaluation of the WP version, we are planning to submit the paper first to Resource and Energy Economics
journal (5year IF = 2.032) or, in the case of rejection or less positive evaluation, to Resources Policy journal
(5year IF = 0.962). The next step in the submission tree is Prague Economic Papers.
SS: Submission of paper with expected name “Hedging Risks in the Natural Gas Market“ to IES WP
2011/2012
WS: Submission of paper “Hedging Risks in the Natural Gas Market“ to EconLit journal. In the case of very
positive evaluation of the WP version, we are planning to submit the paper to Energy Policy journal (5year IF =
1.872).
WS: Submission of paper with expected name “Application of Financial Derivatives in Energy Markets“ to
IES WP.
SS: Sending of paper “Application of Financial Derivatives in Energy Markets“ to EconLit journal. In the case
of very positive evaluation of the WP version, we are planning to submit the paper to Energy Policy journal (5year
IF = 1.872).
Concretization of study plan for 1st year of study
Teaching
Participation at doctoral seminars
Beginning of work on dissertation
Planned examinations
Other activities
Work on dissertation:
Work on the first paper with expected name: “Weather Risk in the Natural Gas Market“
Planned publications:
WS: Publication of IES WP with expected name “Changes in the Natural Gas Market” written on the basis of
diploma thesis.
SS: Submission of “Changes in the Natural Gas Market” to the EconLit journal with the submission tree
mentioned in the previous section.
Teaching 2009/2010:
WS: JEB008 Mikroekonomie II
SS: JEB007 Mikroekonomie I
Doctoral seminars:
WS: ELBF – Economics and Law in Banking and Finance
SS: ELBF – Economics and Law in Banking and Finance
Planned grant activities:
Submission of a 3-year grant to Grant Agency of Charles University with the topic “Hedging Risks in
Energy Markets“
Other activities:
WS, SS: Participation in defenses (at least 50%)
Advisor’s evaluation
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Advisor’s signature
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Student’s signature