Crude Oil Hedging by Futures

, M.Sc. Thesis Sharif University of Technology Mohammdi, Marjan (Author) ; Keshavarz Hadad, Gholamreza (Supervisor) ; Zamani, Shiva (Supervisor)

Abstract

Risk in crude oil price is likely to occur due to changes in global oil demand, capacity of crude oil production and regional crisis. A future contract is the instrument primarily designed to hedge one’s exposure to unwanted risk. Hedging policies often implements through different hedge ratios estimation.
This study examines the performance of several econometrics models namely OLS, GARCH,BEKK,VECM-BEKK for the returns of West Texas Intermediate(WTI) oil spot and futures prices from 3 January 1995 to 31December 2010, to calculate static and daily time varying minimum variance optimal hedge ratios and suggest a crude oil hedge strategy.
We show that hedging effectiveness indicate...

Optimization of Multi-asset Portfolio Case study of Iranian Financial Markets

, M.Sc. Thesis Sharif University of Technology Ghaemmaghami, Ali (Author) ; Modarres Yazdi, Mohammad (Supervisor)

Abstract

In this study we are looking for an optimum way to select a multi-asset portfolio. Usually portfolios only contain stocks and bonds. Here we examine if adding other sort of assets like gold, currencies, bank deposit and gilt-edged securities are optimum or not. We are doing a comprehensive research of adding other kinds of assets to the portfolio. With modeling and solving the real situation, data and constraints of Iranian financial market we decide to whether add other assets to our portfolio or not. The results show in recent years low risk assets are optimum to add to the portfolio as it is was anticipated to the major economic of Iran

On the Dynamics of Electricity Retail Prices: Multi-Market Equilibrium, Forward Market and Risk Management

, M.Sc. Thesis Sharif University of Technology Farahat, Mohammad Reza (Author) ; Fatemi Ardestani, Farshad (Supervisor) ; Hesamzadeh, Mohammad Reza (Supervisor)

Abstract

This thesis develops a multi-market equilibrium framework for analyzing retail electricity markets, with a focus on the interaction between the forward and spot markets under conditions of network uncertainty and renewable integration. We explore `the role of retailers’ hedging strategies, forward contract demand, and their impact on market efficiency. By modeling the forward price and the retailer’s optimal forward position under mean-variance preferences, we derive key equilibrium conditions for the spot, forward, and retail markets. Our results show that an increase in uncertainty leads to lower hedge ratios, even in the face of higher price variance. Numerical simulations using Monte...