Komoditní deriváty se zaměřením na plyn a elektrickou energii

This thesis covers the topic of commodity derivatives mainly focusing on the electricity market and the gas market. Apart from a general introduction to commodity derivatives, the theoretical part focuses on specific derivatives contracts traded on the world’s largest markets. In the electricity market part the focus is specifically on derivatives traded on the European Energy Exchange, Intercontinental Exchange, and Chicago Mercantile Exchange. Gas derivative contracts are analyzed primarily for the Henry Hub, National Balancing Point, and Title Transfer Facility trading hubs. In the practical part, the correlation of the prices of energy derivatives is analyzed in relation to the development of selected variables, such as the historical development of interest rates of government bonds, average daily temperatures, oil prices, and others. The resulting correlation coefficients indicate the strength and direction of the relationship between the variables and the interconnectedness of the monitored time series. This knowledge is used, for example, in risk management.