How much should we pay for interconnecting electricity markets? A real options approach

An interconnector is an asset that gives the owner the option to transmit electricity between two locations. In financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power prices in two markets. We model the spread based on a: seasonal trend, mean-reverting Gaussian process, and mean-reverting jump process. We express the value of these real options in closed-form. We apply our valuation tool to five pairs of European neighboring markets to value a hypothetical one-year lease of the interconnector. We show valuations for different assumptions about the seasonal component of the spread, and different liquidity caps which proxy for the depth of the interconnected power markets. We derive no-arbitrage lower bounds for the value of the interconnector in terms of electricity futures contracts. We find that, depending on the depth of the market, the jumps in the spread can account for between 1% and 40% of the total value of the interconnector. The two markets where an interconnector would be most (resp. least) valuable are Germany and the Netherlands (resp. France and Germany).Real options, Bull Call Spread, Interconnector, Electricity prices, Jumps, Jump filter

How much should we pay for interconnecting electricity markets? A real options approach

An interconnector is an asset that gives the owner the option to transmit electricity between two locations. In financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power prices in two markets. We model the spread based on a: seasonal trend, mean-reverting Gaussian process, and mean-reverting jump process. We express the value of these real options in closed-form. We apply our valuation tool to five pairs of European neighboring markets to value a hypothetical one-year lease of the interconnector. We show valuations for different assumptions about the seasonal component of the spread, and different liquidity caps which proxy for the depth of the interconnected power markets. We derive no-arbitrage lower bounds for the value of the interconnector in terms of electricity futures contracts. We find that, depending on the depth of the market, the jumps in the spread can account for between 1% and 40% of the total value of the interconnector. The two markets where an interconnector would be most (resp. least) valuable are Germany and the Netherlands (resp. France and Germany)

The role of derivatives in market strains during the COVID-19 crisis

Desde el comienzo de la pandemia, el mercado de renta variable ha experimentado episodios de alta volatilidad. En alguno de ellos, el uso de derivados con fines especulativos por inversores privados ha sido citado como un factor relevante. En este documento se analizan dos casos concretos: la revalorización de la acción de GameStop, y el rápido ascenso y posterior caída del fondo Archegos Capital. En ambos, el apalancamiento facilitado por los derivados ha generado tensiones en el funcionamiento de segmentos de mercado poco líquidos en forma de ciclos retroalimentados de negociación.Since the onset of the pandemic, the equity market has experienced bouts of high volatility, with private investors’ use of derivatives for speculative purposes being cited as a relevant factor in some cases. This paper analyses two specific episodes: the revaluation of GameStop stock, and the swift rise and subsequent collapse of Archegos Capital. In both instances, the leverage provided by derivatives generated strains in the functioning of illiquid market segments in the form of trading feedback loops

Four essays in commodity markets: asset allocation, pricing, and risk management

Mención Internacional en el título de doctorOur study is divided into two parts. The first part (Chapter 2 and Chapter 3) analyzes the multivariate distribution of commodity returns and its impact on portfolio selection and tail risk measures. Chapter 2 solves the portfolio selection problem of an investor with three-moment preferences when commodity futures are part of the investment opportunity set, providing a conditional copula model for the joint distribution of returns that allows for time-varying moments and state-dependent tail behavior. Chapter 3 approximates the exposure of physical and financial players to energy price risk using linear combinations of energy futures; it also analyzes the tail behavior of energy price risk using a dynamic multivariate model, in which the vector of innovations is generated by different generalized hyperbolic distributions. The second part (Chapter 4 and Chapter 5) considers the valuation of real assets and commodity derivatives in the presence of non-Gaussian shocks in a continuous time framework. Specifically, Chapter 4 employs a jump diffusion model for the price differentials and proposes a valuation tool for the connection between two electricity markets. Chapter 5 proposes a reduced-form model for the data generating process of commodity prices together with a more flexible change of measure, capable of changing the mean-reversion rate of Gaussian and jump processes under the risk-adjusted probability measure. Some parts of this thesis have been presented in different seminars, workshops, and conferences. Chapter 2 was presented at the 2011 INFINITI Conference on International Finance (Trinity College, Dublin), the 2011 Conference of the Multinational Finance Society (LUISS, Rome), the 2012 International Conference of the Financial Engineering and Banking Society (ESCP, London), the 2012 International Finance and Banking Society Conference (Valencia), the 2012 Meetings of the European Financial Management Association (University of Barcelona), and Universidad Autónoma de Madrid. A previous version of Chapter 3 was presented at the 2010 AEEE Conference on Energy Economics (University of Vigo). Chapter 4 was presented at the 2010 Finance Forum (CEU, Elche), the 2011 AEEE Conference on Energy Economics (University of Barcelona), University of Duisburg-Essen, and Birkbeck-University of London. Previous drafts of Chapter 5 were presented at the 2009 Conference on Energy Finance (Universities of Oslo and Agder), the 2010 Industrial-Academic Forum on Commodities, Energy Markets, and Emissions Trading (Fields Institute, Toronto), and the 2011 Energy and Finance (Erasmus School of Economics).Programa Oficial de Posgrado en Investigación en Economía de la Empresa y Métodos CuantitativosPresidente: Alfonso Novales Cinca; Secretario: Rüdiger Kiesel; Vocal: David Vereda

Préstamos corporativos apalancados: definición y evolución del mercado

Artículo de revistaEn la última década, el volumen de préstamos corporativos apalancados (leveraged loans) ha crecido hasta alcanzar niveles máximos desde el final de la crisis. En el caso de España, este crecimiento ha sido más contenido, con un volumen del 5% del total para Europa durante el período 2016-2018. Las condiciones contractuales de los préstamos apalancados son ahora menos restrictivas y gran parte de estos se distribuye entre inversores institucionales de todo el mundo en forma de obligaciones garantizadas (o CLO, por sus siglas en inglés). Este modelo de originar para distribuir plantea potenciales riesgos para el sistema financiero. En caso de un deterioro del ciclo económico, las pérdidas en este mercado podrían ser significativas, en especial por la relajación en las protecciones al inversor. Además, debido a su relevancia como fuente de financiación corporativa, un aumento en los incumplimientos tendría efectos negativos en la economía real

Implementación de un algoritmo genético paralelo sobre HW gráfico de última generación

Los algoritmos genéticos (AGs) son procedimientos de búsqueda y optimización inspirados por la simplicidad y efectividad del proceso de la evolución natural de las especies. Al igual que ocurre en la naturaleza, basan su éxito en la supervivencia de los individuos más aptos de una población. En este caso, un individuo es una solución potencial del problema, y se implementa como una estructura de datos. Los AGs trabajan sobre poblaciones de soluciones que evolucionan mediante la aplicación de operadores genéticos (selección, cruce y mutación) adecuados al problema específico que intentan resolver. Uno de los rasgos esenciales de los AGs es su paralelismo implícito puesto que, al igual que la evolución natural, trabajan con poblaciones enteras, no con sus individuos integrantes en particular. Los sistemas actuales cuentan con potentes tarjetas gráficas, frecuentemente programables, que permanecen inactivas durante la ejecución de aplicaciones no gráficas. Dichas tarjetas cuentan con un procesador de naturaleza paralela, que las hace especialmente indicadas para la ejecución de AGs. Este trabajo es una propuesta para aprovechar un recurso hardware habitualmente inactivo para implementar, en un sistema monoprocesador, algún tipo de topología de AGs paralelos. Obtenemos así mejoras -tanto en la calidad de las soluciones como en el tiempo de ejecución- con respecto a la ejecución secuencial del AG sobre la CPU. [ABSTRACT] Genetic algorithms (GAs) are optimization techniques which imitate the way that nature selects the best individuals (the best adaptation to the environment) to create descendants which are more highly adapted. The first step is to generate a random initial population, where each individual is represented by a character chain like a chromosome and with the greatest diversity, so that this population has the widest range of characteristics. Each individual represents a solution for the targeted problem. Then, each individual is evaluated using a fitness function, which indicates the quality of each individual. Finally, the best-adapted individuals are selected to generate a new population, whose average will be nearer to the desired solution. This new population is created making use of three operators: selection, crossover and mutation.One of the major aspects of GA is their ability to be parallelised. Indeed, because natural evolution deals with an entire population and not only with particular individuals, it is a remarkably highly parallel process. Nowadays computer systems incorporate powerful graphic cards that are commonly idle during a normal execution process of most of the optimization algorithms. Modern graphic cards use a pipelined streaming architecture to perform a significant part of the rendering process. Two stages in the pipelined process are programmable in current graphics hardware. The vertex engine is used to perform transformations on the vertex attributes (normal, position, color, texture, ...). On the other hand, the fragment engine is used to transform the fragments that form the different polygons. Both engines are extremely parallel, processing several elements in parallel and making extensive use of SIMD units. In this work we have presented a parallel implementation of a GA using a GPU. We have implemented not only three well know benchmarks problems with excellent Speed-up results, but also a novel implementation of an algorithm for solving defectives problems proposed in the literature

Trademark activity and the market performance of U.S. commercial banks

This empirical paper analyzes the effect of trademark activity on the market value and performance of US commercial banks from two perspectives. First, a longterm perspective considers the effect of such activity on banks’ Tobin's q. Second, with a short-term perspective, the authors analyze the effect of trademark activity on banks’ abnormal returns. An older portfolio of trademarks diminishes the ratio of market value to firm assets, but this ratio can be improved in the long term by abandoning old trade-marks. Portfolios of trademarks with wide diversification do not help increase Tobin's q. Furthermore, according to an event study, the creation of a trademark has a positive effect on cumulative abnormal returns compared with no event, whereas a cancellation event has a negative impact

El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19

Desde el comienzo de la pandemia, el mercado de renta variable ha experimentado episodios de alta volatilidad. En alguno de ellos, el uso de derivados con fines especulativos por inversores privados ha sido citado como un factor relevante. En este documento se analizan dos casos concretos: la revalorización de la acción de GameStop, y el rápido ascenso y posterior caída del fondo Archegos Capital. En ambos, el apalancamiento facilitado por los derivados ha generado tensiones en el funcionamiento de segmentos de mercado poco líquidos en forma de ciclos retroalimentados de negociación.Since the onset of the pandemic, the equity market has experienced bouts of high volatility, with private investors’ use of derivatives for speculative purposes being cited as a relevant factor in some cases. This paper analyses two specific episodes: the revaluation of GameStop stock, and the swift rise and subsequent collapse of Archegos Capital. In both events, the leverage provided by derivatives generated strains in the functioning of illiquid market segments in the form of trading feedback loops

Análisis de sentimiento del "Informe de Estabilidad Financiera"

En este artículo se muestra una aplicación de la minería de textos para extraer información de documentos financieros y usar esta información para crear índices de sentimiento. En particular, el análisis se centra en los diferentes números del Informe de Estabilidad Financiera (IEF) del Banco de España desde 2002 hasta 2019 en su versión en español, y en la reacción de la prensa a este Informe. Para calcular los índices, se ha creado, hasta donde conocemos, el primer diccionario en español de palabras con connotación positiva, negativa o neutra dentro del contexto de la estabilidad financiera. Se analiza la robustez de los índices aplicándolos a distintas secciones del Informe, y usando diversas variaciones del diccionario y de la definición del índice. Finalmente, se mide también el sentimiento de las noticias de los periódicos los días siguientes a la publicación del Informe. Los resultados muestran que la lista de palabras recogida en el diccionario de referencia constituye una muestra robusta para estimar el sentimiento de estos textos. Esta herramienta constituye un valioso instrumento para analizar la repercusión del IEF, y también para cuantificar de forma objetiva el sentimiento que se está trasladando en él.This article shows a text mining application to extract information from financial texts and use this information to create sentiment indices. In particular, the analysis focuses on the Banco de España’s financial stability reports from 2002 to 2019 in their Spanish version and on the reaction of the press to these reports. To calculate the indices, the first Spanish dictionary of words with a positive, negative or neutral connotation has been created, as far as we know, within the context of financial stability. The robustness of the indices is analyzed by applying them to different sections of the report, and using different variations of the dictionary and the definition of the index. Finally, sentiment is also measured for newspaper news in the days following the publication of the report. The results show that the list of words collected in the reference dictionary constitutes a robust sample to estimate the sentiment of these texts. This tool constitutes a valuable methodology to analyze the repercussion of financial stability reports, while objectively quantifying the sentiment that is being transferred in them

KRAS-mutant non-small cell lung cancer (NSCLC) therapy based on tepotinib and omeprazole combination

Background KRAS-mutant non-small cell lung cancer (NSCLC) shows a relatively low response rate to chemotherapy, immunotherapy and KRAS-G12C selective inhibitors, leading to short median progression-free survival, and overall survival. The MET receptor tyrosine kinase (c-MET), the cognate receptor of hepatocyte growth factor (HGF), was reported to be overexpressed in KRAS-mutant lung cancer cells leading to tumor-growth in anchorage-independent conditions. Methods Cell viability assay and synergy analysis were carried out in native, sotorasib and trametinib-resistant KRAS-mutant NSCLC cell lines. Colony formation assays and Western blot analysis were also performed. RNA isolation from tumors of KRAS-mutant NSCLC patients was performed and KRAS and MET mRNA expression was determined by real-time RT-qPCR. In vivo studies were conducted in NSCLC (NCI-H358) cell-derived tumor xenograft model. Results Our research has shown promising activity of omeprazole, a V-ATPase-driven proton pump inhibitor with potential anti-cancer properties, in combination with the MET inhibitor tepotinib in KRAS-mutant G12C and non-G12C NSCLC cell lines, as well as in G12C inhibitor (AMG510, sotorasib) and MEK inhibitor (trametinib)-resistant cell lines. Moreover, in a xenograft mouse model, combination of omeprazole plus tepotinib caused tumor growth regression. We observed that the combination of these two drugs downregulates phosphorylation of the glycolytic enzyme enolase 1 (ENO1) and the low-density lipoprotein receptor-related protein (LRP) 5/6 in the H358 KRAS G12C cell line, but not in the H358 sotorasib resistant, indicating that the effect of the combination could be independent of ENO1. In addition, we examined the probability of recurrence-free survival and overall survival in 40 early lung adenocarcinoma patients with KRAS G12C mutation stratified by KRAS and MET mRNA levels. Significant differences were observed in recurrence-free survival according to high levels of KRAS mRNA expression. Hazard ratio (HR) of recurrence-free survival was 7.291 (p = 0.014) for high levels of KRAS mRNA expression and 3.742 (p = 0.052) for high MET mRNA expression. Conclusions We posit that the combination of the V-ATPase inhibitor omeprazole plus tepotinib warrants further assessment in KRAS-mutant G12C and non G12C cell lines, including those resistant to the covalent KRAS G12C inhibitors