Master thesis structured products americas

Retail structured notes

This paper will focus on the Swiss electricity market, for which the structured products shall be priced. Secondly, the Swiss electricity price process deviates significantly from international electricity price behaviour. Fourth, energy prices exhibit mean reversion. In chapter 2, the special characteristics of the electricity market are explained. This is not possible for electricity. In this paper the aforementioned challenges will be addressed in the following by first modelling the stochastic behaviour of the Swiss electricity prices and then introducing products that could be appealing for customers to reduce their electricity price risk. Daniel Bergstresser investigated structured notes. They explained capped structured products as the products that provide their investors to participate in any upward movement in the underlying up to a pre-specified cap, participating structured products as the products that provide their investors to participate in any upward movement in the underlying without any pre- specified cap. In their study they examined the design, the payoff, the market, the pricing, the profitability, and the realized returns of expired issues of the RES. Due in large part to its central role in economic and social welfare, the electricity market has traditionally always been strongly regulated.

Remaining part of the products are continuous products that accept investments for an unlimited period. The special pricing mechanism of electricity leads to the fact that its trading activities differ compared to other financial markets.

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See Weron for a list. The following table shows the adjusted R2 of different regressions.

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One key reason for investing in electricity is that its price is expected to increase in Switzerland, and this is occurring despite the current liberalization that leads to downwards price pressure Gerber, In particular, different statistical tests are applied to investigate various hypotheses of characteristics that have been observed in international electricity markets.

Based on this result it can be assume that if the stochastic process of the SWEP is identified, the results can be used to price options on the SWEP as well as on the Swissix.

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James claims as well that risk management is important in the power markets.

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Structured Products