R. Kiesel (Univ. Essen, Allemagne)

In this talk we provide frameworks to explain the market risk premium, defined as the difference between forward prices and spot forecasts. We show how it depends on the risk preferences of market players and what impact information differences may have. Our focus will be on an empirical investigation of the so-called information premium, which is defined as the influence of future information not incorporated in spot prices but taken into consideration when pricing forwards. We test for the existence of the premium using data from the German EEX at beginning of 2008 when CO2 certificates were introduced. We also examine how the presence of an information premium alters the prices of options on forwards and apply the technique of enlargement of filtrations to show how to calculate the premium specifically for certain types of information and delivery periods. Furthermore, we illustrate the results in various stylised examples. (joint work with Fred Espen Benth and Richard Biegler-Koenig)