Grups d'Investigació

GIUV2019-443

The overall objective of the research is to develop and apply methodologies that improve and facilitate decision-making for both financial professionals and regulators. It also extends to the analysis and management of climate change risks based on the fundamentals of financial theory, applying quantitative finance techniques to energy commodity price series quoted in international financial markets (spot and forward).

No Determinada

• Mejora permanente en la investigacion en Economia Financiera y Finanzas Energeticas

• Financial Economics.Analysis of efficiency in financial markets. Identification of arbitrage opportunities through the use of high frequency databases. Estimation of the risk premium in both equities and loans. Analysis of volatility transmission between markets.
• Energy finance.Analysis of hedging in energy commodities. Impact on electricity prices and implications for market design of the transition to a generation system with a strong presence of renewables. Valuation of derivatives in the European market for pollution permits.

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• Financial and Actuarial Economics

• efficiency, markets, arbitrage, risk premium, volatility
• hedging, renewables, derivatives valuation